Correlation Between Ab Cap and Neuberger Berman

By analyzing existing cross correlation between Ab Cap Fund and Neuberger Berman Long, you can compare the effects of market volatilities on Ab Cap and Neuberger Berman 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 Ab Cap with a short position of Neuberger Berman. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Cap and Neuberger Berman.

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Can any of the company-specific risk be diversified away by investing in both Ab Cap and Neuberger Berman 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 Ab Cap and Neuberger Berman into the same portfolio, which is an essential part of the fundamental portfolio management process.

Diversification Opportunities for Ab Cap and Neuberger Berman

0.63
  Correlation Coefficient
Ab Cap Fund
Neuberger Berman Long

Poor diversification

The 5 months correlation between ASLAX and Neuberger is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Ab Cap Fund and Neuberger Berman Long in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Neuberger Berman Long and Ab Cap 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 Ab Cap Fund are associated (or correlated) with Neuberger Berman. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Neuberger Berman Long has no effect on the direction of Ab Cap i.e., Ab Cap and Neuberger Berman go up and down completely randomly.

Pair Corralation between Ab Cap and Neuberger Berman

Assuming the 90 days horizon Ab Cap Fund is expected to under-perform the Neuberger Berman. In addition to that, Ab Cap is 2.52 times more volatile than Neuberger Berman Long. It trades about -0.04 of its total potential returns per unit of risk. Neuberger Berman Long is currently generating about -0.03 per unit of volatility. If you would invest  1,711  in Neuberger Berman Long on October 18, 2021 and sell it today you would lose (27.00)  from holding Neuberger Berman Long or give up 1.58% of portfolio value over 90 days.
Time Period5 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Ab Cap Fund  vs.  Neuberger Berman Long

 Performance (%) 
      Timeline 
Ab Cap Fund 
ASLAX Performance
0 of 100
Over the last 90 days Ab Cap Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Ab Cap is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Neuberger Berman Long 
Neuberger Performance
0 of 100
Over the last 90 days Neuberger Berman Long has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Neuberger Berman is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Ab Cap and Neuberger Berman Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Ab Cap and Neuberger Berman

The main advantage of trading using opposite Ab Cap and Neuberger Berman positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Cap position performs unexpectedly, Neuberger Berman 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 Neuberger Berman will offset losses from the drop in Neuberger Berman's long position.
The idea behind Ab Cap Fund and Neuberger Berman Long 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.
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.

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