Correlation Between Virtus Nfj and Transamerica Small

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

Diversification Opportunities for Virtus Nfj and Transamerica Small

0.6

Correlation Coefficient

Virtus Nfj  Transamerica Small

Poor diversification

The 3 months correlation between Virtus and Transamerica is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Virtus Nfj Large Cap and Transamerica Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transamerica Small Cap 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 Transamerica Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transamerica Small Cap has no effect on the direction of Virtus Nfj i.e., Virtus Nfj and Transamerica Small go up and down completely randomly.

Pair Corralation between Virtus Nfj and Transamerica Small

Assuming the 90 days horizon Virtus Nfj Large Cap is expected to under-perform the Transamerica Small. But the mutual fund apears to be less risky and, when comparing its historical volatility, Virtus Nfj Large Cap is 1.54 times less risky than Transamerica Small. The mutual fund trades about -0.1 of its potential returns per unit of risk. The Transamerica Small Cap is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  689.00  in Transamerica Small Cap on September 23, 2024 and sell it today you would earn a total of  21.00  from holding Transamerica Small Cap or generate 3.05% return on investment over 90 days.

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

Virtus Nfj Large Cap  vs.  Transamerica Small Cap

Virtus Nfj Large

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Virtus Nfj Large Cap has generated negative risk-adjusted returns adding no value to fund investors. 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.

Transamerica Small Cap

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Transamerica Small Cap are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Transamerica Small is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Virtus Nfj and Transamerica Small

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

The idea behind Virtus Nfj Large Cap and Transamerica Small 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 Transaction History module to view history of all your transactions and understand their impact on performance.