Correlation Between Omni Small and State Street
Can any of the company-specific risk be diversified away by investing in both Omni Small and State Street 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 and State Street 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 State Street Target, you can compare the effects of market volatilities on Omni Small and State Street 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 with a short position of State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Omni Small and State Street.
Diversification Opportunities for Omni Small and State Street
0.35 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Omni and State is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding Omni Small Cap Value and State Street Target in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Target and Omni Small 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 State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Target has no effect on the direction of Omni Small i.e., Omni Small and State Street go up and down completely randomly.
Pair Corralation between Omni Small and State Street
Assuming the 90 days horizon Omni Small Cap Value is expected to generate 5.57 times more return on investment than State Street. However, Omni Small is 5.57 times more volatile than State Street Target. It trades about 0.13 of its potential returns per unit of risk. State Street Target is currently generating about 0.08 per unit of risk. If you would invest 1,900 in Omni Small Cap Value on September 12, 2024 and sell it today you would earn a total of 220.00 from holding Omni Small Cap Value or generate 11.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 98.44% |
| Values | Daily Returns |
Omni Small Cap Value vs. State Street Target
Performance |
| Timeline |
| Omni Small Cap |
| State Street Target |
Omni Small and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Omni Small and State Street
The main advantage of trading using opposite Omni Small and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Omni Small position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| Omni Small vs. Pace Smallmedium Value | Omni Small vs. Great West Loomis Sayles | Omni Small vs. Ab Discovery Value | Omni Small vs. Fidelity Small Cap |
| State Street vs. Jpmorgan Smartretirement Income | State Street vs. HUMANA INC | State Street vs. Barloworld Ltd ADR | State Street vs. Morningstar Unconstrained Allocation |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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