Correlation Between Ultimus Managers and Avantis Large

Can any of the company-specific risk be diversified away by investing in both Ultimus Managers and Avantis Large 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 Ultimus Managers and Avantis Large into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Ultimus Managers Trust and Avantis Large Cap, you can compare the effects of market volatilities on Ultimus Managers and Avantis Large 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 Ultimus Managers with a short position of Avantis Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ultimus Managers and Avantis Large.

Diversification Opportunities for Ultimus Managers and Avantis Large

0.89

Correlation Coefficient

Ultimus Managers  Avantis Large

Very poor diversification

The 3 months correlation between Ultimus and Avantis is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Ultimus Managers Trust and Avantis Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Avantis Large Cap and Ultimus Managers 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 Ultimus Managers Trust are associated (or correlated) with Avantis Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Avantis Large Cap has no effect on the direction of Ultimus Managers i.e., Ultimus Managers and Avantis Large go up and down completely randomly.

Pair Corralation between Ultimus Managers and Avantis Large

Assuming the 90 days horizon Ultimus Managers Trust is expected to generate 0.9 times more return on investment than Avantis Large. However, Ultimus Managers Trust is 1.11 times less risky than Avantis Large. It trades about 0.02 of its potential returns per unit of risk. Avantis Large Cap is currently generating about -0.08 per unit of risk. If you would invest  1,241  in Ultimus Managers Trust on September 13, 2024 and sell it today you would earn a total of  2.00  from holding Ultimus Managers Trust or generate 0.16% return on investment over 90 days.

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

Ultimus Managers Trust  vs.  Avantis Large Cap

Ultimus Managers Trust

Risk-Adjusted Performance

0 of 100

OK

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

Avantis Large Cap

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Avantis Large Cap are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak technical and fundamental indicators, Avantis Large may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Ultimus Managers and Avantis Large

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

The idea behind Ultimus Managers Trust and Avantis 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.

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 Bonds Directory module to find actively traded corporate debentures issued by US companies.