Correlation Between Ambrus Core and Transamerica Intermediate

Can any of the company-specific risk be diversified away by investing in both Ambrus Core and Transamerica Intermediate 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 Transamerica Intermediate 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 Transamerica Intermediate Muni, you can compare the effects of market volatilities on Ambrus Core and Transamerica Intermediate 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 Transamerica Intermediate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ambrus Core and Transamerica Intermediate.

Diversification Opportunities for Ambrus Core and Transamerica Intermediate

0.79

Correlation Coefficient

Ambrus Core  Transamerica Intermediate

Poor diversification

The 3 months correlation between Ambrus and Transamerica is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Ambrus Core Bond and Transamerica Intermediate Muni in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transamerica Intermediate 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 Transamerica Intermediate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transamerica Intermediate has no effect on the direction of Ambrus Core i.e., Ambrus Core and Transamerica Intermediate go up and down completely randomly.

Pair Corralation between Ambrus Core and Transamerica Intermediate

Assuming the 90 days horizon Ambrus Core Bond is expected to under-perform the Transamerica Intermediate. But the mutual fund apears to be less risky and, when comparing its historical volatility, Ambrus Core Bond is 1.39 times less risky than Transamerica Intermediate. The mutual fund trades about -0.01 of its potential returns per unit of risk. The Transamerica Intermediate Muni is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  1,076  in Transamerica Intermediate Muni on August 31, 2024 and sell it today you would earn a total of  10.00  from holding Transamerica Intermediate Muni or generate 0.93% return on investment over 90 days.

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

Ambrus Core Bond  vs.  Transamerica Intermediate Muni

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.

Transamerica Intermediate

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Transamerica Intermediate Muni are ranked lower than 4 (%) 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.

Pair Trading with Ambrus Core and Transamerica Intermediate

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

The idea behind Ambrus Core Bond and Transamerica Intermediate Muni 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.