Correlation Between Cullen Small and Cullen Value
Can any of the company-specific risk be diversified away by investing in both Cullen Small and Cullen 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 Cullen Small and Cullen Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Cullen Small Cap and Cullen Value Fund, you can compare the effects of market volatilities on Cullen Small and Cullen 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 Cullen Small with a short position of Cullen Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cullen Small and Cullen Value.
Diversification Opportunities for Cullen Small and Cullen Value
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Cullen and Cullen is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Cullen Small Cap and Cullen Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Cullen Value and Cullen 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 Cullen Small Cap are associated (or correlated) with Cullen Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Cullen Value has no effect on the direction of Cullen Small i.e., Cullen Small and Cullen Value go up and down completely randomly.
Pair Corralation between Cullen Small and Cullen Value
Assuming the 90 days horizon Cullen Small is expected to generate 1.07 times less return on investment than Cullen Value. In addition to that, Cullen Small is 1.97 times more volatile than Cullen Value Fund. It trades about 0.03 of its total potential returns per unit of risk. Cullen Value Fund is currently generating about 0.06 per unit of volatility. If you would invest 1,211 in Cullen Value Fund on August 30, 2024 and sell it today you would earn a total of 269.00 from holding Cullen Value Fund or generate 22.21% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Cullen Small Cap vs. Cullen Value Fund
Performance |
| Timeline |
| Cullen Small Cap |
| Cullen Value |
Cullen Small and Cullen Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cullen Small and Cullen Value
The main advantage of trading using opposite Cullen Small and Cullen Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cullen Small position performs unexpectedly, Cullen 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 Cullen Value will offset losses from the drop in Cullen Value's long position.| Cullen Small vs. International Investors Gold | Cullen Small vs. James Balanced Golden | Cullen Small vs. Invesco Gold Special | Cullen Small vs. Great West Goldman Sachs |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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