Correlation Between Abbey Capital and Small Cap
Can any of the company-specific risk be diversified away by investing in both Abbey Capital and Small Cap 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 Abbey Capital and Small Cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Abbey Capital Futures and Small Cap Value, you can compare the effects of market volatilities on Abbey Capital and Small Cap 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 Abbey Capital with a short position of Small Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Abbey Capital and Small Cap.
Diversification Opportunities for Abbey Capital and Small Cap
-0.51 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Abbey and Small is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Abbey Capital Futures and Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value and Abbey Capital 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 Abbey Capital Futures are associated (or correlated) with Small Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Value has no effect on the direction of Abbey Capital i.e., Abbey Capital and Small Cap go up and down completely randomly.
Pair Corralation between Abbey Capital and Small Cap
Assuming the 90 days horizon Abbey Capital is expected to generate 19.1 times less return on investment than Small Cap. But when comparing it to its historical volatility, Abbey Capital Futures is 1.96 times less risky than Small Cap. It trades about 0.02 of its potential returns per unit of risk. Small Cap Value is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 1,041 in Small Cap Value on November 1, 2024 and sell it today you would earn a total of 40.00 from holding Small Cap Value or generate 3.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Abbey Capital Futures vs. Small Cap Value
Performance |
| Timeline |
| Abbey Capital Futures |
| Small Cap Value |
Abbey Capital and Small Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Abbey Capital and Small Cap
The main advantage of trading using opposite Abbey Capital and Small Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Abbey Capital position performs unexpectedly, Small Cap 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 Small Cap will offset losses from the drop in Small Cap's long position.| Abbey Capital vs. Small Cap Value | Abbey Capital vs. Fidelity Small Cap | Abbey Capital vs. Lsv Small Cap | Abbey Capital vs. William Blair Small |
| Small Cap vs. Value Fund Investor | Small Cap vs. Small Pany Fund | Small Cap vs. Mid Cap Value | Small Cap vs. Equity Income Fund |
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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