Correlation Between Boston Partners and Mid-cap Value

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

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

Diversification Opportunities for Boston Partners and Mid-cap Value

0.98

Correlation Coefficient

Boston Partners  Mid-cap Value

Almost no diversification

The 3 months correlation between Boston and Mid-cap is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Boston Partners Small and Mid Cap Value Profund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mid Cap Value and Boston Partners 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 Boston Partners Small are associated (or correlated) with Mid-cap Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mid Cap Value has no effect on the direction of Boston Partners i.e., Boston Partners and Mid-cap Value go up and down completely randomly.

Pair Corralation between Boston Partners and Mid-cap Value

Assuming the 90 days horizon Boston Partners Small is expected to generate 1.22 times more return on investment than Mid-cap Value. However, Boston Partners is 1.22 times more volatile than Mid Cap Value Profund. It trades about 0.15 of its potential returns per unit of risk. Mid Cap Value Profund is currently generating about 0.18 per unit of risk. If you would invest  2,645  in Boston Partners Small on September 2, 2024 and sell it today you would earn a total of  313.00  from holding Boston Partners Small or generate 11.83% return on investment over 90 days.

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

Boston Partners Small  vs.  Mid Cap Value Profund

Boston Partners Small

Risk-Adjusted Performance

11 of 100

Good

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

Mid Cap Value

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Mid Cap Value Profund are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Mid-cap Value may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Boston Partners and Mid-cap Value

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

The idea behind Boston Partners Small and Mid Cap Value Profund 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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.