Correlation Between Grant Park and Small Cap
Can any of the company-specific risk be diversified away by investing in both Grant Park and 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 Grant Park and Small Cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Grant Park Multi and Small Cap Value, you can compare the effects of market volatilities on Grant Park and 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 Grant Park with a short position of Small Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Grant Park and Small Cap.
Diversification Opportunities for Grant Park and Small Cap
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Grant and SMALL is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Grant Park Multi and Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value and Grant Park 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 Grant Park Multi are associated (or correlated) with 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 Small Cap Value has no effect on the direction of Grant Park i.e., Grant Park and Small Cap go up and down completely randomly.
Pair Corralation between Grant Park and Small Cap
Assuming the 90 days horizon Grant Park is expected to generate 6.42 times less return on investment than Small Cap. But when comparing it to its historical volatility, Grant Park Multi is 6.66 times less risky than Small Cap. It trades about 0.27 of its potential returns per unit of risk. Small Cap Value is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 1,108 in Small Cap Value on September 5, 2024 and sell it today you would earn a total of 107.00 from holding Small Cap Value or generate 9.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Grant Park Multi vs. Small Cap Value
Performance |
| Timeline |
| Grant Park Multi |
| Small Cap Value |
Grant Park and Small Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Grant Park and Small Cap
The main advantage of trading using opposite Grant Park and Small Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Grant Park position performs unexpectedly, 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 Small Cap will offset losses from the drop in Small Cap's long position.| Grant Park vs. Small Cap Value | Grant Park vs. Small Midcap Dividend Income | Grant Park vs. Baird Smallmid Cap | Grant Park vs. Artisan Small Cap |
| Small Cap vs. T Rowe Price | Small Cap vs. Legg Mason Partners | Small Cap vs. Jp Morgan Smartretirement | Small Cap vs. T Rowe Price |
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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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