Correlation Between Lebenthal Lisanti and Sp Midcap
Can any of the company-specific risk be diversified away by investing in both Lebenthal Lisanti and Sp Midcap 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 Lebenthal Lisanti and Sp Midcap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lebenthal Lisanti Small and Sp Midcap Index, you can compare the effects of market volatilities on Lebenthal Lisanti and Sp Midcap 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 Lebenthal Lisanti with a short position of Sp Midcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lebenthal Lisanti and Sp Midcap.
Diversification Opportunities for Lebenthal Lisanti and Sp Midcap
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Lebenthal and SPMIX is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Lebenthal Lisanti Small and Sp Midcap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp Midcap Index and Lebenthal Lisanti 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 Lebenthal Lisanti Small are associated (or correlated) with Sp Midcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp Midcap Index has no effect on the direction of Lebenthal Lisanti i.e., Lebenthal Lisanti and Sp Midcap go up and down completely randomly.
Pair Corralation between Lebenthal Lisanti and Sp Midcap
Assuming the 90 days horizon Lebenthal Lisanti Small is expected to under-perform the Sp Midcap. In addition to that, Lebenthal Lisanti is 1.57 times more volatile than Sp Midcap Index. It trades about -0.62 of its total potential returns per unit of risk. Sp Midcap Index is currently generating about -0.41 per unit of volatility. If you would invest 2,619 in Sp Midcap Index on December 10, 2024 and sell it today you would lose (232.00) from holding Sp Midcap Index or give up 8.86% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lebenthal Lisanti Small vs. Sp Midcap Index
Performance |
| Timeline |
| Lebenthal Lisanti Small |
| Sp Midcap Index |
Lebenthal Lisanti and Sp Midcap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lebenthal Lisanti and Sp Midcap
The main advantage of trading using opposite Lebenthal Lisanti and Sp Midcap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lebenthal Lisanti position performs unexpectedly, Sp Midcap 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 Sp Midcap will offset losses from the drop in Sp Midcap's long position.| Lebenthal Lisanti vs. Lord Abbett Growth | Lebenthal Lisanti vs. Queens Road Small | Lebenthal Lisanti vs. Eaton Vance Large Cap |
| Sp Midcap vs. Cardinal Small Cap | Sp Midcap vs. Calvert Smallmid Cap A | Sp Midcap vs. Franklin Small Cap | Sp Midcap vs. Glg Intl Small |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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