Correlation Between Us Small and Brandes Small
Can any of the company-specific risk be diversified away by investing in both Us Small and Brandes Small 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 Us Small and Brandes Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Us Small Cap and Brandes Small Cap, you can compare the effects of market volatilities on Us Small and Brandes Small 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 Us Small with a short position of Brandes Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Us Small and Brandes Small.
Diversification Opportunities for Us Small and Brandes Small
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between DFSVX and Brandes is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Us Small Cap and Brandes Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brandes Small Cap and Us 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 Us Small Cap are associated (or correlated) with Brandes Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brandes Small Cap has no effect on the direction of Us Small i.e., Us Small and Brandes Small go up and down completely randomly.
Pair Corralation between Us Small and Brandes Small
Assuming the 90 days horizon Us Small is expected to generate 1.19 times less return on investment than Brandes Small. In addition to that, Us Small is 1.38 times more volatile than Brandes Small Cap. It trades about 0.27 of its total potential returns per unit of risk. Brandes Small Cap is currently generating about 0.45 per unit of volatility. If you would invest 1,512 in Brandes Small Cap on September 4, 2024 and sell it today you would earn a total of 192.00 from holding Brandes Small Cap or generate 12.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Us Small Cap vs. Brandes Small Cap
Performance |
| Timeline |
| Us Small Cap |
| Brandes Small Cap |
Us Small and Brandes Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Us Small and Brandes Small
The main advantage of trading using opposite Us Small and Brandes Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Us Small position performs unexpectedly, Brandes Small 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 Brandes Small will offset losses from the drop in Brandes Small's long position.| Us Small vs. Us Micro Cap | Us Small vs. Dfa International Small | Us Small vs. Us Large Cap | Us Small vs. International Small Pany |
| Brandes Small vs. Brandes Small Cap | Brandes Small vs. Brandes Small Cap | Brandes Small vs. Brandes E Plus | Brandes Small vs. Brandes E Plus |
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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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