Correlation Between Hennessy Large and Sp Midcap
Can any of the company-specific risk be diversified away by investing in both Hennessy Large and Sp Midcap 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 Hennessy Large and Sp Midcap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Hennessy Large Cap and Sp Midcap Index, you can compare the effects of market volatilities on Hennessy Large and Sp Midcap 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 Hennessy Large with a short position of Sp Midcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hennessy Large and Sp Midcap.
Diversification Opportunities for Hennessy Large and Sp Midcap
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Hennessy and SPMIX is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Large Cap and Sp Midcap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp Midcap Index and Hennessy Large 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 Hennessy Large Cap are associated (or correlated) with Sp Midcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp Midcap Index has no effect on the direction of Hennessy Large i.e., Hennessy Large and Sp Midcap go up and down completely randomly.
Pair Corralation between Hennessy Large and Sp Midcap
Assuming the 90 days horizon Hennessy Large Cap is expected to generate 1.16 times more return on investment than Sp Midcap. However, Hennessy Large is 1.16 times more volatile than Sp Midcap Index. It trades about -0.07 of its potential returns per unit of risk. Sp Midcap Index is currently generating about -0.1 per unit of risk. If you would invest 2,879 in Hennessy Large Cap on January 14, 2025 and sell it today you would lose (183.00) from holding Hennessy Large Cap or give up 6.36% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Hennessy Large Cap vs. Sp Midcap Index
Performance |
| Timeline |
| Hennessy Large Cap |
| Sp Midcap Index |
Hennessy Large and Sp Midcap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Hennessy Large and Sp Midcap
The main advantage of trading using opposite Hennessy Large and Sp Midcap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hennessy Large position performs unexpectedly, Sp Midcap 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 Sp Midcap will offset losses from the drop in Sp Midcap's long position.| Hennessy Large vs. Hennessy Large Cap | Hennessy Large vs. Dow 2x Strategy | Hennessy Large vs. Dow 2x Strategy | Hennessy Large vs. T Rowe Price |
| Sp Midcap vs. John Hancock High | Sp Midcap vs. Calvert High Yield | Sp Midcap vs. Gmo High Yield | Sp Midcap vs. Prudential Short Duration |
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
Other Complementary Tools
| Money Managers Screen money managers from public funds and ETFs managed around the world | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges | |
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like |