Correlation Between International Smaller and Global Alpha
Can any of the company-specific risk be diversified away by investing in both International Smaller and Global Alpha 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 International Smaller and Global Alpha into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The International Smaller and The Global Alpha, you can compare the effects of market volatilities on International Smaller and Global Alpha 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 International Smaller with a short position of Global Alpha. Check out your portfolio center. Please also check ongoing floating volatility patterns of International Smaller and Global Alpha.
Diversification Opportunities for International Smaller and Global Alpha
0.4 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between International and Global is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding The International Smaller and The Global Alpha in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global Alpha and International Smaller 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 The International Smaller are associated (or correlated) with Global Alpha. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global Alpha has no effect on the direction of International Smaller i.e., International Smaller and Global Alpha go up and down completely randomly.
Pair Corralation between International Smaller and Global Alpha
Assuming the 90 days horizon The International Smaller is expected to generate 0.45 times more return on investment than Global Alpha. However, The International Smaller is 2.22 times less risky than Global Alpha. It trades about 0.17 of its potential returns per unit of risk. The Global Alpha is currently generating about -0.13 per unit of risk. If you would invest 1,201 in The International Smaller on October 25, 2024 and sell it today you would earn a total of 39.00 from holding The International Smaller or generate 3.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 94.74% |
| Values | Daily Returns |
The International Smaller vs. The Global Alpha
Performance |
| Timeline |
| The International Smaller |
| Global Alpha |
International Smaller and Global Alpha Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with International Smaller and Global Alpha
The main advantage of trading using opposite International Smaller and Global Alpha positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if International Smaller position performs unexpectedly, Global Alpha 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 Global Alpha will offset losses from the drop in Global Alpha's long position.| International Smaller vs. Gmo High Yield | International Smaller vs. Versatile Bond Portfolio | International Smaller vs. T Rowe Price | International Smaller vs. Intermediate Term Tax Free Bond |
| Global Alpha vs. Salient Mlp Energy | Global Alpha vs. Invesco Energy Fund | Global Alpha vs. Pimco Energy Tactical | Global Alpha vs. Thrivent Natural Resources |
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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
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