Correlation Between Astor Long/short and Segall Bryant

Can any of the company-specific risk be diversified away by investing in both Astor Long/short and Segall Bryant 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 Astor Long/short and Segall Bryant into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Astor Longshort Fund and Segall Bryant Hamill, you can compare the effects of market volatilities on Astor Long/short and Segall Bryant 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 Astor Long/short with a short position of Segall Bryant. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astor Long/short and Segall Bryant.

Diversification Opportunities for Astor Long/short and Segall Bryant

0.94

Correlation Coefficient

Astor Long/short  Segall Bryant

Almost no diversification

The 3 months correlation between Astor and Segall is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Astor Longshort Fund and Segall Bryant Hamill in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Segall Bryant Hamill and Astor Long/short 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 Astor Longshort Fund are associated (or correlated) with Segall Bryant. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Segall Bryant Hamill has no effect on the direction of Astor Long/short i.e., Astor Long/short and Segall Bryant go up and down completely randomly.

Pair Corralation between Astor Long/short and Segall Bryant

Assuming the 90 days horizon Astor Long/short is expected to generate 2.24 times less return on investment than Segall Bryant. But when comparing it to its historical volatility, Astor Longshort Fund is 3.85 times less risky than Segall Bryant. It trades about 0.24 of its potential returns per unit of risk. Segall Bryant Hamill is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  1,506  in Segall Bryant Hamill on September 3, 2024 and sell it today you would earn a total of  182.00  from holding Segall Bryant Hamill or generate 12.08% return on investment over 90 days.

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

Astor Longshort Fund  vs.  Segall Bryant Hamill

Astor Long/short

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Astor Longshort Fund are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Astor Long/short is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Segall Bryant Hamill

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Segall Bryant Hamill are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Segall Bryant may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Astor Long/short and Segall Bryant

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

The idea behind Astor Longshort Fund and Segall Bryant Hamill 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.