Correlation Between Ambrus Core and State Street

Can any of the company-specific risk be diversified away by investing in both Ambrus Core and State Street 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 Ambrus Core and State Street into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Ambrus Core Bond and State Street Global, you can compare the effects of market volatilities on Ambrus Core and State Street 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 Ambrus Core with a short position of State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ambrus Core and State Street.

Diversification Opportunities for Ambrus Core and State Street

0.67

Correlation Coefficient

Ambrus Core  State Street

Poor diversification

The 3 months correlation between Ambrus and State is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Ambrus Core Bond and State Street Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Global and Ambrus Core 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 Ambrus Core Bond are associated (or correlated) with State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Global has no effect on the direction of Ambrus Core i.e., Ambrus Core and State Street go up and down completely randomly.

Pair Corralation between Ambrus Core and State Street

Assuming the 90 days horizon Ambrus Core Bond is expected to under-perform the State Street. But the mutual fund apears to be less risky and, when comparing its historical volatility, Ambrus Core Bond is 3.95 times less risky than State Street. The mutual fund trades about -0.08 of its potential returns per unit of risk. The State Street Global is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest  12,354  in State Street Global on September 14, 2024 and sell it today you would lose (108.00) from holding State Street Global or give up 0.87% of portfolio value over 90 days.

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

Ambrus Core Bond  vs.  State Street Global

Ambrus Core Bond

Risk-Adjusted Performance

0 of 100

Very Weak

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

State Street Global

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Ambrus Core and State Street

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

The idea behind Ambrus Core Bond and State Street Global 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.