Correlation Between Royce Value and Cohen Steers

Can any of the company-specific risk be diversified away by investing in both Royce Value and Cohen Steers 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 Cohen Steers 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 Cohen Steers Limited, you can compare the effects of market volatilities on Royce Value and Cohen Steers 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 Cohen Steers. Check out your portfolio center. Please also check ongoing floating volatility patterns of Royce Value and Cohen Steers.

Diversification Opportunities for Royce Value and Cohen Steers

-0.02

Correlation Coefficient

Royce Value  Cohen Steers

Good diversification

The 3 months correlation between Royce and Cohen is -0.02. Overlapping area represents the amount of risk that can be diversified away by holding Royce Value Closed and Cohen Steers Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cohen Steers Limited 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 Cohen Steers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cohen Steers Limited has no effect on the direction of Royce Value i.e., Royce Value and Cohen Steers go up and down completely randomly.

Pair Corralation between Royce Value and Cohen Steers

Considering the 90-day investment horizon Royce Value Closed is expected to under-perform the Cohen Steers. In addition to that, Royce Value is 1.88 times more volatile than Cohen Steers Limited. It trades about -0.1 of its total potential returns per unit of risk. Cohen Steers Limited is currently generating about 0.09 per unit of volatility. If you would invest  1,986  in Cohen Steers Limited on December 27, 2024 and sell it today you would earn a total of  57.00  from holding Cohen Steers Limited or generate 2.87% return on investment over 90 days.

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

Royce Value Closed  vs.  Cohen Steers Limited

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 latest uncertain performance, the Stock's basic indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Cohen Steers Limited

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Cohen Steers Limited are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. Even with relatively invariable fundamental indicators, Cohen Steers is not utilizing all of its potentials. The recent stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with Royce Value and Cohen Steers

The main advantage of trading using opposite Royce Value and Cohen Steers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Royce Value position performs unexpectedly, Cohen Steers 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 Cohen Steers will offset losses from the drop in Cohen Steers' long position.

The idea behind Royce Value Closed and Cohen Steers Limited 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.