Correlation Between Liberty All and Aegis Value
Can any of the company-specific risk be diversified away by investing in both Liberty All 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 Liberty All and Aegis Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Liberty All Star and Aegis Value Fund, you can compare the effects of market volatilities on Liberty All 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 Liberty All with a short position of Aegis Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Liberty All and Aegis Value.
Diversification Opportunities for Liberty All and Aegis Value
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Liberty and Aegis is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Liberty All Star 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 Liberty All 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 Liberty All Star 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 Liberty All i.e., Liberty All and Aegis Value go up and down completely randomly.
Pair Corralation between Liberty All and Aegis Value
Considering the 90-day investment horizon Liberty All is expected to generate 1.08 times less return on investment than Aegis Value. But when comparing it to its historical volatility, Liberty All Star is 1.24 times less risky than Aegis Value. It trades about 0.19 of its potential returns per unit of risk. Aegis Value Fund is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest 3,692 in Aegis Value Fund on September 7, 2024 and sell it today you would earn a total of 392.00 from holding Aegis Value Fund or generate 10.62% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Liberty All Star vs. Aegis Value Fund
Performance |
Timeline |
Liberty All Star |
Aegis Value Fund |
Liberty All and Aegis Value Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Liberty All and Aegis Value
The main advantage of trading using opposite Liberty All and Aegis Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Liberty All 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.Liberty All vs. Adams Diversified Equity | Liberty All vs. BlackRock Science and | Liberty All vs. Virtus Allianzgi Artificial | Liberty All vs. Royce Value Closed |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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