Correlation Between Boston Partners and Small-cap Value
Can any of the company-specific risk be diversified away by investing in both Boston Partners and Small-cap 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 Boston Partners and Small-cap Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Boston Partners Small and Small Cap Value Series, you can compare the effects of market volatilities on Boston Partners and Small-cap 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 Boston Partners with a short position of Small-cap Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Boston Partners and Small-cap Value.
Diversification Opportunities for Boston Partners and Small-cap Value
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Boston and Small-cap is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Boston Partners Small and Small Cap Value Series in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value and Boston Partners 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 Boston Partners Small are associated (or correlated) with Small-cap Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Value has no effect on the direction of Boston Partners i.e., Boston Partners and Small-cap Value go up and down completely randomly.
Pair Corralation between Boston Partners and Small-cap Value
Assuming the 90 days horizon Boston Partners is expected to generate 1.04 times less return on investment than Small-cap Value. But when comparing it to its historical volatility, Boston Partners Small is 1.02 times less risky than Small-cap Value. It trades about 0.1 of its potential returns per unit of risk. Small Cap Value Series is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 1,585 in Small Cap Value Series on September 1, 2024 and sell it today you would earn a total of 276.00 from holding Small Cap Value Series or generate 17.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.21% |
| Values | Daily Returns |
Boston Partners Small vs. Small Cap Value Series
Performance |
| Timeline |
| Boston Partners Small |
| Small Cap Value |
Boston Partners and Small-cap Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Boston Partners and Small-cap Value
The main advantage of trading using opposite Boston Partners and Small-cap Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Boston Partners position performs unexpectedly, Small-cap 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 Small-cap Value will offset losses from the drop in Small-cap Value's long position.| Boston Partners vs. Aggressive Investors 1 | Boston Partners vs. Buffalo Small Cap | Boston Partners vs. Rice Hall James | Boston Partners vs. Putnam Small Cap |
| Small-cap Value vs. Franklin Real Estate | Small-cap Value vs. Tiaa Cref Real Estate | Small-cap Value vs. Pender Real Estate | Small-cap Value vs. Jhancock Real Estate |
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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