Correlation Between Omni Small-cap and Astor Long/short
Can any of the company-specific risk be diversified away by investing in both Omni Small-cap and Astor Long/short 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 Astor Long/short 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 Astor Longshort Fund, you can compare the effects of market volatilities on Omni Small-cap and Astor Long/short 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 Astor Long/short. Check out your portfolio center. Please also check ongoing floating volatility patterns of Omni Small-cap and Astor Long/short.
Diversification Opportunities for Omni Small-cap and Astor Long/short
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Omni and Astor is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Omni Small Cap Value and Astor Longshort Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astor Long/short 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 Astor Long/short. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astor Long/short has no effect on the direction of Omni Small-cap i.e., Omni Small-cap and Astor Long/short go up and down completely randomly.
Pair Corralation between Omni Small-cap and Astor Long/short
Assuming the 90 days horizon Omni Small Cap Value is expected to generate 4.46 times more return on investment than Astor Long/short. However, Omni Small-cap is 4.46 times more volatile than Astor Longshort Fund. It trades about 0.16 of its potential returns per unit of risk. Astor Longshort Fund is currently generating about 0.19 per unit of risk. If you would invest 1,965 in Omni Small Cap Value on August 24, 2024 and sell it today you would earn a total of 131.00 from holding Omni Small Cap Value or generate 6.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Omni Small Cap Value vs. Astor Longshort Fund
Performance |
| Timeline |
| Omni Small Cap |
| Astor Long/short |
Omni Small-cap and Astor Long/short Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Omni Small-cap and Astor Long/short
The main advantage of trading using opposite Omni Small-cap and Astor Long/short positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Omni Small-cap position performs unexpectedly, Astor Long/short 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 Astor Long/short will offset losses from the drop in Astor Long/short'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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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