Correlation Between Coreshares Index and Absa Multi

Can any of the company-specific risk be diversified away by investing in both Coreshares Index and Absa Multi 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 Coreshares Index and Absa Multi into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Coreshares Index Tracker and Absa Multi managed Absolute, you can compare the effects of market volatilities on Coreshares Index and Absa Multi 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 Coreshares Index with a short position of Absa Multi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Coreshares Index and Absa Multi.

Diversification Opportunities for Coreshares Index and Absa Multi

0.07

Correlation Coefficient

Coreshares Index  Absa Multi

Significant diversification

The 3 months correlation between Coreshares and Absa is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding Coreshares Index Tracker and Absa Multi managed Absolute in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Absa Multi managed and Coreshares Index 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 Coreshares Index Tracker are associated (or correlated) with Absa Multi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Absa Multi managed has no effect on the direction of Coreshares Index i.e., Coreshares Index and Absa Multi go up and down completely randomly.

Pair Corralation between Coreshares Index and Absa Multi

Assuming the 90 days trading horizon Coreshares Index is expected to generate 3.4 times less return on investment than Absa Multi. In addition to that, Coreshares Index is 4.09 times more volatile than Absa Multi managed Absolute. It trades about 0.01 of its total potential returns per unit of risk. Absa Multi managed Absolute is currently generating about 0.12 per unit of volatility. If you would invest  147.00  in Absa Multi managed Absolute on September 16, 2024 and sell it today you would earn a total of  1.00  from holding Absa Multi managed Absolute or generate 0.68% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	95.45%
Values	Daily Returns

Coreshares Index Tracker  vs.  Absa Multi managed Absolute

Coreshares Index Tracker

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Coreshares Index Tracker are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong fundamental indicators, Coreshares Index is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Absa Multi managed

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Absa Multi managed Absolute are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Absa Multi is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Coreshares Index and Absa Multi

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

The idea behind Coreshares Index Tracker and Absa Multi managed Absolute 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.