Correlation Between Omni Small-cap and Ab Value
Can any of the company-specific risk be diversified away by investing in both Omni Small-cap and Ab Value 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 Omni Small-cap and Ab Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Omni Small Cap Value and Ab Value Fund, you can compare the effects of market volatilities on Omni Small-cap and Ab Value 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 Omni Small-cap with a short position of Ab Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Omni Small-cap and Ab Value.
Diversification Opportunities for Omni Small-cap and Ab Value
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Omni and ABVCX is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Omni Small Cap Value and Ab Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ab Value Fund and Omni Small-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 Omni Small Cap Value are associated (or correlated) with Ab Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ab Value Fund has no effect on the direction of Omni Small-cap i.e., Omni Small-cap and Ab Value go up and down completely randomly.
Pair Corralation between Omni Small-cap and Ab Value
Assuming the 90 days horizon Omni Small Cap Value is expected to generate 2.05 times more return on investment than Ab Value. However, Omni Small-cap is 2.05 times more volatile than Ab Value Fund. It trades about 0.07 of its potential returns per unit of risk. Ab Value Fund is currently generating about 0.12 per unit of risk. If you would invest 1,632 in Omni Small Cap Value on August 24, 2024 and sell it today you would earn a total of 464.00 from holding Omni Small Cap Value or generate 28.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.6% |
| Values | Daily Returns |
Omni Small Cap Value vs. Ab Value Fund
Performance |
| Timeline |
| Omni Small Cap |
| Ab Value Fund |
Omni Small-cap and Ab Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Omni Small-cap and Ab Value
The main advantage of trading using opposite Omni Small-cap and Ab Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Omni Small-cap position performs unexpectedly, Ab Value 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 Ab Value will offset losses from the drop in Ab Value's long position.| Omni Small-cap vs. Pace Municipal Fixed | Omni Small-cap vs. Transamerica Intermediate Muni | Omni Small-cap vs. Dws Government Money | Omni Small-cap vs. Nuveen All American Municipal |
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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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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