Correlation Between Classic Value and Amg Timessquare

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

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

Diversification Opportunities for Classic Value and Amg Timessquare

0.69

Correlation Coefficient

Classic Value  Amg Timessquare

Poor diversification

The 3 months correlation between Classic and Amg is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Classic Value Fund and Amg Timessquare Mid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amg Timessquare Mid and Classic 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 Classic Value Fund are associated (or correlated) with Amg Timessquare. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amg Timessquare Mid has no effect on the direction of Classic Value i.e., Classic Value and Amg Timessquare go up and down completely randomly.

Pair Corralation between Classic Value and Amg Timessquare

Assuming the 90 days horizon Classic Value Fund is expected to under-perform the Amg Timessquare. In addition to that, Classic Value is 3.33 times more volatile than Amg Timessquare Mid. It trades about -0.12 of its total potential returns per unit of risk. Amg Timessquare Mid is currently generating about -0.06 per unit of volatility. If you would invest  1,837  in Amg Timessquare Mid on September 23, 2024 and sell it today you would lose (104.00) from holding Amg Timessquare Mid or give up 5.66% of portfolio value over 90 days.

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

Classic Value Fund  vs.  Amg Timessquare Mid

Classic Value

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Classic Value Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's forward indicators remain fairly strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Amg Timessquare Mid

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Classic Value and Amg Timessquare

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

The idea behind Classic Value Fund and Amg Timessquare Mid 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.