Correlation Between Artisan Value and Artisan Mid

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

By analyzing existing cross correlation between Artisan Value Fund and Artisan Mid Cap, you can compare the effects of market volatilities on Artisan Value and Artisan Mid 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 Artisan Value with a short position of Artisan Mid. Check out your portfolio center. Please also check ongoing floating volatility patterns of Artisan Value and Artisan Mid.

Diversification Opportunities for Artisan Value and Artisan Mid

0.89

Correlation Coefficient

Artisan Value  Artisan Mid

Very poor diversification

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

Pair Corralation between Artisan Value and Artisan Mid

Assuming the 90 days horizon Artisan Value is expected to generate 1.11 times less return on investment than Artisan Mid. But when comparing it to its historical volatility, Artisan Value Fund is 1.49 times less risky than Artisan Mid. It trades about 0.26 of its potential returns per unit of risk. Artisan Mid Cap is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest  1,644  in Artisan Mid Cap on August 31, 2024 and sell it today you would earn a total of  73.00  from holding Artisan Mid Cap or generate 4.44% return on investment over 90 days.

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

Artisan Value Fund  vs.  Artisan Mid Cap

Artisan Value

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Artisan Value Fund are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong essential indicators, Artisan Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Artisan Mid Cap

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Artisan Mid Cap are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Artisan Mid is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Artisan Value and Artisan Mid

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

The idea behind Artisan Value Fund and Artisan Mid 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.