Correlation Between Ultimus Managers and Ab Small

Can any of the company-specific risk be diversified away by investing in both Ultimus Managers and Ab 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 Ultimus Managers and Ab Small 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 Ab Small Cap, you can compare the effects of market volatilities on Ultimus Managers and Ab 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 Ultimus Managers with a short position of Ab Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ultimus Managers and Ab Small.

Diversification Opportunities for Ultimus Managers and Ab Small

0.82

Correlation Coefficient

Ultimus Managers  Ab Small

Very poor diversification

The 3 months correlation between Ultimus and QUAZX is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Ultimus Managers Trust and Ab Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Small 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 Ab Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Small Cap has no effect on the direction of Ultimus Managers i.e., Ultimus Managers and Ab Small go up and down completely randomly.

Pair Corralation between Ultimus Managers and Ab Small

Assuming the 90 days horizon Ultimus Managers Trust is expected to generate 0.54 times more return on investment than Ab Small. However, Ultimus Managers Trust is 1.85 times less risky than Ab Small. It trades about -0.06 of its potential returns per unit of risk. Ab Small Cap is currently generating about -0.13 per unit of risk. If you would invest  1,117  in Ultimus Managers Trust on December 29, 2024 and sell it today you would lose (41.00) from holding Ultimus Managers Trust or give up 3.67% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	98.39%
Values	Daily Returns

Ultimus Managers Trust  vs.  Ab Small Cap

Ultimus Managers Trust

Risk-Adjusted Performance

Very Weak

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.

Ab Small Cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Ab Small Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Ultimus Managers and Ab Small

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

The idea behind Ultimus Managers Trust and Ab 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.