Correlation Between Omni Small-cap and Vanguard Small-cap
Can any of the company-specific risk be diversified away by investing in both Omni Small-cap and Vanguard Small-cap 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 Vanguard Small-cap 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 Vanguard Small Cap Index, you can compare the effects of market volatilities on Omni Small-cap and Vanguard Small-cap 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 Vanguard Small-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Omni Small-cap and Vanguard Small-cap.
Diversification Opportunities for Omni Small-cap and Vanguard Small-cap
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Omni and VANGUARD is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Omni Small Cap Value and Vanguard Small Cap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Small Cap 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 Vanguard Small-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Small Cap has no effect on the direction of Omni Small-cap i.e., Omni Small-cap and Vanguard Small-cap go up and down completely randomly.
Pair Corralation between Omni Small-cap and Vanguard Small-cap
Assuming the 90 days horizon Omni Small-cap is expected to generate 1.27 times less return on investment than Vanguard Small-cap. In addition to that, Omni Small-cap is 1.42 times more volatile than Vanguard Small Cap Index. It trades about 0.1 of its total potential returns per unit of risk. Vanguard Small Cap Index is currently generating about 0.18 per unit of volatility. If you would invest 31,802 in Vanguard Small Cap Index on August 28, 2024 and sell it today you would earn a total of 3,831 from holding Vanguard Small Cap Index or generate 12.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 98.44% |
| Values | Daily Returns |
Omni Small Cap Value vs. Vanguard Small Cap Index
Performance |
| Timeline |
| Omni Small Cap |
| Vanguard Small Cap |
Omni Small-cap and Vanguard Small-cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Omni Small-cap and Vanguard Small-cap
The main advantage of trading using opposite Omni Small-cap and Vanguard Small-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Omni Small-cap position performs unexpectedly, Vanguard Small-cap 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 Vanguard Small-cap will offset losses from the drop in Vanguard Small-cap's long position.| Omni Small-cap vs. Aggressive Investors 1 | Omni Small-cap vs. Managed Volatility Fund | Omni Small-cap vs. Small Cap Value Fund |
| Vanguard Small-cap vs. Invesco Global Health | Vanguard Small-cap vs. Hartford Healthcare Hls | Vanguard Small-cap vs. Blackrock Health Sciences | Vanguard Small-cap vs. Live Oak Health |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
Other Complementary Tools
| Odds Of Bankruptcy Get analysis of equity chance of financial distress in the next 2 years | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Transaction History View history of all your transactions and understand their impact on performance | |
| Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities |