Correlation Between Smallcap World and Catalyst/millburn
Can any of the company-specific risk be diversified away by investing in both Smallcap World and Catalyst/millburn 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 Smallcap World and Catalyst/millburn into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Smallcap World Fund and Catalystmillburn Hedge Strategy, you can compare the effects of market volatilities on Smallcap World and Catalyst/millburn 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 Smallcap World with a short position of Catalyst/millburn. Check out your portfolio center. Please also check ongoing floating volatility patterns of Smallcap World and Catalyst/millburn.
Diversification Opportunities for Smallcap World and Catalyst/millburn
0.11 | Correlation Coefficient |
Average diversification
The 3 months correlation between Smallcap and Catalyst/millburn is 0.11. Overlapping area represents the amount of risk that can be diversified away by holding Smallcap World Fund and Catalystmillburn Hedge Strateg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Catalystmillburn Hedge and Smallcap World 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 Smallcap World Fund are associated (or correlated) with Catalyst/millburn. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Catalystmillburn Hedge has no effect on the direction of Smallcap World i.e., Smallcap World and Catalyst/millburn go up and down completely randomly.
Pair Corralation between Smallcap World and Catalyst/millburn
Assuming the 90 days horizon Smallcap World is expected to generate 1.02 times less return on investment than Catalyst/millburn. In addition to that, Smallcap World is 1.47 times more volatile than Catalystmillburn Hedge Strategy. It trades about 0.13 of its total potential returns per unit of risk. Catalystmillburn Hedge Strategy is currently generating about 0.2 per unit of volatility. If you would invest 3,918 in Catalystmillburn Hedge Strategy on October 25, 2024 and sell it today you would earn a total of 83.00 from holding Catalystmillburn Hedge Strategy or generate 2.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Smallcap World Fund vs. Catalystmillburn Hedge Strateg
Performance |
| Timeline |
| Smallcap World |
| Catalystmillburn Hedge |
Smallcap World and Catalyst/millburn Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Smallcap World and Catalyst/millburn
The main advantage of trading using opposite Smallcap World and Catalyst/millburn positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Smallcap World position performs unexpectedly, Catalyst/millburn 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 Catalyst/millburn will offset losses from the drop in Catalyst/millburn's long position.| Smallcap World vs. Morningstar Defensive Bond | Smallcap World vs. T Rowe Price | Smallcap World vs. Barings High Yield | Smallcap World vs. Gmo High Yield |
| Catalyst/millburn vs. Heartland Value Plus | Catalyst/millburn vs. William Blair Small | Catalyst/millburn vs. Mutual Of America | Catalyst/millburn vs. American Century Etf |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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