Correlation Between Fundamental Large and Amg Renaissance

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

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

Diversification Opportunities for Fundamental Large and Amg Renaissance

0.86

Correlation Coefficient

Fundamental Large  Amg Renaissance

Very poor diversification

The 3 months correlation between Fundamental and Amg is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Fundamental Large Cap and Amg Renaissance Large in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amg Renaissance Large and Fundamental Large 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 Fundamental Large Cap are associated (or correlated) with Amg Renaissance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amg Renaissance Large has no effect on the direction of Fundamental Large i.e., Fundamental Large and Amg Renaissance go up and down completely randomly.

Pair Corralation between Fundamental Large and Amg Renaissance

Assuming the 90 days horizon Fundamental Large Cap is expected to under-perform the Amg Renaissance. But the mutual fund apears to be less risky and, when comparing its historical volatility, Fundamental Large Cap is 1.05 times less risky than Amg Renaissance. The mutual fund trades about -0.06 of its potential returns per unit of risk. The Amg Renaissance Large is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest  1,925  in Amg Renaissance Large on October 23, 2024 and sell it today you would lose (84.00) from holding Amg Renaissance Large or give up 4.36% of portfolio value over 90 days.

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

Fundamental Large Cap  vs.  Amg Renaissance Large

Fundamental Large Cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Fundamental Large Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Fundamental Large is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Amg Renaissance Large

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amg Renaissance Large has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Amg Renaissance is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Fundamental Large and Amg Renaissance

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

The idea behind Fundamental Large Cap and Amg Renaissance Large 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.

Check out your portfolio center.

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 Transaction History module to view history of all your transactions and understand their impact on performance.