Correlation Between Large Cap and Astor Longshort

Can any of the company-specific risk be diversified away by investing in both Large Cap and Astor Longshort 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 Large Cap and Astor Longshort into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Large Cap Value and Astor Longshort Fund, you can compare the effects of market volatilities on Large Cap and Astor Longshort 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 Large Cap with a short position of Astor Longshort. Check out your portfolio center. Please also check ongoing floating volatility patterns of Large Cap and Astor Longshort.

Diversification Opportunities for Large Cap and Astor Longshort

-0.01

Correlation Coefficient

Large Cap  Astor Longshort

Good diversification

The 3 months correlation between Large and Astor is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Value and Astor Longshort Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astor Longshort and Large Cap 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 Large Cap Value are associated (or correlated) with Astor Longshort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astor Longshort has no effect on the direction of Large Cap i.e., Large Cap and Astor Longshort go up and down completely randomly.

Pair Corralation between Large Cap and Astor Longshort

Assuming the 90 days horizon Large Cap Value is expected to under-perform the Astor Longshort. In addition to that, Large Cap is 18.9 times more volatile than Astor Longshort Fund. It trades about -0.19 of its total potential returns per unit of risk. Astor Longshort Fund is currently generating about 0.29 per unit of volatility. If you would invest  1,401  in Astor Longshort Fund on September 16, 2024 and sell it today you would earn a total of  20.00  from holding Astor Longshort Fund or generate 1.43% return on investment over 90 days.

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

Large Cap Value  vs.  Astor Longshort Fund

Large Cap Value

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Large Cap Value 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 fundamental indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Astor Longshort

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Astor Longshort Fund are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Astor Longshort is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Large Cap and Astor Longshort

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

The idea behind Large Cap Value and Astor Longshort Fund 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.