Correlation Between Grant Park and Asg Managed

Can any of the company-specific risk be diversified away by investing in both Grant Park and Asg Managed 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 Asg Managed 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 Asg Managed Futures, you can compare the effects of market volatilities on Grant Park and Asg Managed 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 Asg Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Grant Park and Asg Managed.

Diversification Opportunities for Grant Park and Asg Managed

0.86

Correlation Coefficient

Grant Park  Asg Managed

Very poor diversification

The 3 months correlation between Grant and Asg is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Grant Park Multi and Asg Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Asg Managed Futures 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 Asg Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Asg Managed Futures has no effect on the direction of Grant Park i.e., Grant Park and Asg Managed go up and down completely randomly.

Pair Corralation between Grant Park and Asg Managed

Assuming the 90 days horizon Grant Park Multi is expected to under-perform the Asg Managed. But the mutual fund apears to be less risky and, when comparing its historical volatility, Grant Park Multi is 1.07 times less risky than Asg Managed. The mutual fund trades about -0.05 of its potential returns per unit of risk. The Asg Managed Futures is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  863.00  in Asg Managed Futures on September 17, 2024 and sell it today you would earn a total of  15.00  from holding Asg Managed Futures or generate 1.74% return on investment over 90 days.

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

Grant Park Multi  vs.  Asg Managed Futures

Grant Park Multi

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Grant Park Multi has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Grant Park is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Asg Managed Futures

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Asg Managed Futures has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Asg Managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Grant Park and Asg Managed

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

The idea behind Grant Park Multi and Asg Managed Futures 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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.