Correlation Between Virtus Nfj and Tax-managed

Can any of the company-specific risk be diversified away by investing in both Virtus Nfj and Tax-managed 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 Virtus Nfj and Tax-managed into the same portfolio, which is an essential part of the fundamental portfolio management process.

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

Diversification Opportunities for Virtus Nfj and Tax-managed

0.95

Correlation Coefficient

Virtus Nfj  Tax-managed

Almost no diversification

The 3 months correlation between Virtus and Tax-managed is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Virtus Nfj Large Cap and Tax Managed Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tax Managed Large and Virtus Nfj 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 Virtus Nfj Large Cap are associated (or correlated) with Tax-managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tax Managed Large has no effect on the direction of Virtus Nfj i.e., Virtus Nfj and Tax-managed go up and down completely randomly.

Pair Corralation between Virtus Nfj and Tax-managed

Assuming the 90 days horizon Virtus Nfj is expected to generate 1.44 times less return on investment than Tax-managed. But when comparing it to its historical volatility, Virtus Nfj Large Cap is 1.05 times less risky than Tax-managed. It trades about 0.13 of its potential returns per unit of risk. Tax Managed Large Cap is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  8,113  in Tax Managed Large Cap on September 2, 2024 and sell it today you would earn a total of  666.00  from holding Tax Managed Large Cap or generate 8.21% return on investment over 90 days.

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

Virtus Nfj Large Cap  vs.  Tax Managed Large Cap

Virtus Nfj Large

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Virtus Nfj Large Cap are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Virtus Nfj is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Tax Managed Large

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Tax Managed Large Cap are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Tax-managed may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Virtus Nfj and Tax-managed

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

The idea behind Virtus Nfj Large Cap and Tax Managed Large Cap 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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.