Correlation Between FactSet Research and PennantPark Floating

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

By analyzing existing cross correlation between FactSet Research Systems and PennantPark Floating Rate, you can compare the effects of market volatilities on FactSet Research and PennantPark Floating 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 FactSet Research with a short position of PennantPark Floating. Check out your portfolio center. Please also check ongoing floating volatility patterns of FactSet Research and PennantPark Floating.

Diversification Opportunities for FactSet Research and PennantPark Floating

0.16

Correlation Coefficient

FactSet Research  PennantPark Floating

Average diversification

The 3 months correlation between FactSet and PennantPark is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding FactSet Research Systems and PennantPark Floating Rate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PennantPark Floating Rate and FactSet Research 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 FactSet Research Systems are associated (or correlated) with PennantPark Floating. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PennantPark Floating Rate has no effect on the direction of FactSet Research i.e., FactSet Research and PennantPark Floating go up and down completely randomly.

Pair Corralation between FactSet Research and PennantPark Floating

Considering the 90-day investment horizon FactSet Research is expected to generate 1.58 times less return on investment than PennantPark Floating. In addition to that, FactSet Research is 1.0 times more volatile than PennantPark Floating Rate. It trades about 0.02 of its total potential returns per unit of risk. PennantPark Floating Rate is currently generating about 0.03 per unit of volatility. If you would invest  921.00  in PennantPark Floating Rate on August 31, 2024 and sell it today you would earn a total of  186.00  from holding PennantPark Floating Rate or generate 20.2% return on investment over 90 days.

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

FactSet Research Systems  vs.  PennantPark Floating Rate

FactSet Research Systems

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in FactSet Research Systems are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak fundamental indicators, FactSet Research unveiled solid returns over the last few months and may actually be approaching a breakup point.

PennantPark Floating Rate

Risk-Adjusted Performance

0 of 100

Weak

Over the last 90 days PennantPark Floating Rate has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable essential indicators, PennantPark Floating is not utilizing all of its potentials. The recent stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with FactSet Research and PennantPark Floating

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

The idea behind FactSet Research Systems and PennantPark Floating Rate 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.