Correlation Between Transamerica Intermediate and Aegis Value

Can any of the company-specific risk be diversified away by investing in both Transamerica Intermediate and Aegis Value 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 Transamerica Intermediate and Aegis Value into the same portfolio, which is an essential part of the fundamental portfolio management process.

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

Diversification Opportunities for Transamerica Intermediate and Aegis Value

-0.22

Correlation Coefficient

Transamerica Intermediate  Aegis Value

Very good diversification

The 3 months correlation between Transamerica and Aegis is -0.22. Overlapping area represents the amount of risk that can be diversified away by holding Transamerica Intermediate Muni and Aegis Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aegis Value Fund and Transamerica Intermediate 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 Transamerica Intermediate Muni are associated (or correlated) with Aegis Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aegis Value Fund has no effect on the direction of Transamerica Intermediate i.e., Transamerica Intermediate and Aegis Value go up and down completely randomly.

Pair Corralation between Transamerica Intermediate and Aegis Value

Assuming the 90 days horizon Transamerica Intermediate is expected to generate 2.75 times less return on investment than Aegis Value. But when comparing it to its historical volatility, Transamerica Intermediate Muni is 4.95 times less risky than Aegis Value. It trades about 0.11 of its potential returns per unit of risk. Aegis Value Fund is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  3,307  in Aegis Value Fund on September 12, 2024 and sell it today you would earn a total of  745.00  from holding Aegis Value Fund or generate 22.53% return on investment over 90 days.

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

Transamerica Intermediate Muni  vs.  Aegis Value Fund

Transamerica Intermediate

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Transamerica Intermediate Muni are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Transamerica Intermediate is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Aegis Value Fund

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Aegis Value Fund are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak essential indicators, Aegis Value may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Transamerica Intermediate and Aegis Value

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

The idea behind Transamerica Intermediate Muni and Aegis Value 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.

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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.