Correlation Between Royce Value and Virtus Allianzgi

Can any of the company-specific risk be diversified away by investing in both Royce Value and Virtus Allianzgi at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Royce Value and Virtus Allianzgi into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Royce Value Closed and Virtus Allianzgi Artificial, you can compare the effects of market volatilities on Royce Value and Virtus Allianzgi and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Royce Value with a short position of Virtus Allianzgi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Royce Value and Virtus Allianzgi.

Diversification Opportunities for Royce Value and Virtus Allianzgi

0.89

Correlation Coefficient

Royce Value  Virtus Allianzgi

Very poor diversification

The 3 months correlation between Royce and Virtus is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Royce Value Closed and Virtus Allianzgi Artificial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Virtus Allianzgi Art and Royce Value is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Royce Value Closed are associated (or correlated) with Virtus Allianzgi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Virtus Allianzgi Art has no effect on the direction of Royce Value i.e., Royce Value and Virtus Allianzgi go up and down completely randomly.

Pair Corralation between Royce Value and Virtus Allianzgi

Considering the 90-day investment horizon Royce Value Closed is expected to generate 0.57 times more return on investment than Virtus Allianzgi. However, Royce Value Closed is 1.75 times less risky than Virtus Allianzgi. It trades about -0.1 of its potential returns per unit of risk. Virtus Allianzgi Artificial is currently generating about -0.13 per unit of risk. If you would invest  1,539  in Royce Value Closed on December 28, 2024 and sell it today you would lose (90.00) from holding Royce Value Closed or give up 5.85% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

Royce Value Closed  vs.  Virtus Allianzgi Artificial

Royce Value Closed

Risk-Adjusted Performance

Very Weak

Over the last 90 days Royce Value Closed has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Royce Value is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Virtus Allianzgi Art

Risk-Adjusted Performance

Very Weak

Over the last 90 days Virtus Allianzgi Artificial has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's forward indicators remain very healthy which may send shares a bit higher in April 2025. The recent disarray may also be a sign of long period up-swing for the fund investors.

Pair Trading with Royce Value and Virtus Allianzgi

The main advantage of trading using opposite Royce Value and Virtus Allianzgi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Royce Value position performs unexpectedly, Virtus Allianzgi can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Virtus Allianzgi will offset losses from the drop in Virtus Allianzgi's long position.

The idea behind Royce Value Closed and Virtus Allianzgi Artificial pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Insider Screener module to find insiders across different sectors to evaluate their impact on performance.