Correlation Between Grant Park and Astor Longshort
Can any of the company-specific risk be diversified away by investing in both Grant Park and Astor Longshort 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 Grant Park and Astor Longshort into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Grant Park Multi and Astor Longshort Fund, you can compare the effects of market volatilities on Grant Park and Astor Longshort 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 Grant Park with a short position of Astor Longshort. Check out your portfolio center. Please also check ongoing floating volatility patterns of Grant Park and Astor Longshort.
Diversification Opportunities for Grant Park and Astor Longshort
-0.43 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Grant and Astor is -0.43. Overlapping area represents the amount of risk that can be diversified away by holding Grant Park Multi and Astor Longshort Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astor Longshort and Grant Park 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 Grant Park Multi are associated (or correlated) with Astor Longshort. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astor Longshort has no effect on the direction of Grant Park i.e., Grant Park and Astor Longshort go up and down completely randomly.
Pair Corralation between Grant Park and Astor Longshort
Assuming the 90 days horizon Grant Park Multi is expected to under-perform the Astor Longshort. In addition to that, Grant Park is 1.36 times more volatile than Astor Longshort Fund. It trades about -0.07 of its total potential returns per unit of risk. Astor Longshort Fund is currently generating about 0.17 per unit of volatility. If you would invest 1,370 in Astor Longshort Fund on September 17, 2024 and sell it today you would earn a total of 51.00 from holding Astor Longshort Fund or generate 3.72% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Grant Park Multi vs. Astor Longshort Fund
Performance |
Timeline |
Grant Park Multi |
Astor Longshort |
Grant Park and Astor Longshort Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Grant Park and Astor Longshort
The main advantage of trading using opposite Grant Park and Astor Longshort positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Grant Park position performs unexpectedly, Astor Longshort 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 Astor Longshort will offset losses from the drop in Astor Longshort's long position.Grant Park vs. Grant Park Multi | Grant Park vs. Vanguard 500 Index | Grant Park vs. 1290 High Yield | Grant Park vs. Vanguard Windsor Fund |
Astor Longshort vs. Bbh Intermediate Municipal | Astor Longshort vs. California High Yield Municipal | Astor Longshort vs. Transamerica Intermediate Muni | Astor Longshort vs. Franklin High Yield |
Check out your portfolio center.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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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