Correlation Between Aegis Value and Liberty All

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

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

Diversification Opportunities for Aegis Value and Liberty All

0.71

Correlation Coefficient

Aegis Value  Liberty All

Poor diversification

The 3 months correlation between Aegis and Liberty is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Aegis Value Fund and Liberty All Star in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Liberty All Star and Aegis 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 Aegis Value Fund are associated (or correlated) with Liberty All. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Liberty All Star has no effect on the direction of Aegis Value i.e., Aegis Value and Liberty All go up and down completely randomly.

Pair Corralation between Aegis Value and Liberty All

Assuming the 90 days horizon Aegis Value is expected to generate 1.11 times less return on investment than Liberty All. In addition to that, Aegis Value is 1.26 times more volatile than Liberty All Star. It trades about 0.13 of its total potential returns per unit of risk. Liberty All Star is currently generating about 0.18 per unit of volatility. If you would invest  665.00  in Liberty All Star on September 5, 2024 and sell it today you would earn a total of  65.00  from holding Liberty All Star or generate 9.77% return on investment over 90 days.

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

Aegis Value Fund  vs.  Liberty All Star

Aegis Value Fund

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Aegis Value Fund are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak essential indicators, Aegis Value may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Liberty All Star

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Liberty All Star are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat weak basic indicators, Liberty All may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Aegis Value and Liberty All

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

The idea behind Aegis Value Fund and Liberty All Star 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.