Correlation Between Lord Abbett and Small-cap Value
Can any of the company-specific risk be diversified away by investing in both Lord Abbett and Small-cap 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 Lord Abbett and Small-cap Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lord Abbett Global and Small Cap Value Series, you can compare the effects of market volatilities on Lord Abbett and Small-cap 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 Lord Abbett with a short position of Small-cap Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lord Abbett and Small-cap Value.
Diversification Opportunities for Lord Abbett and Small-cap Value
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Lord and Small-cap is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Lord Abbett Global and Small Cap Value Series in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value and Lord Abbett 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 Lord Abbett Global are associated (or correlated) with Small-cap Value. 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 Lord Abbett i.e., Lord Abbett and Small-cap Value go up and down completely randomly.
Pair Corralation between Lord Abbett and Small-cap Value
Assuming the 90 days horizon Lord Abbett is expected to generate 2.26 times less return on investment than Small-cap Value. But when comparing it to its historical volatility, Lord Abbett Global is 1.44 times less risky than Small-cap Value. It trades about 0.07 of its potential returns per unit of risk. Small Cap Value Series is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 2,089 in Small Cap Value Series on September 1, 2024 and sell it today you would earn a total of 365.00 from holding Small Cap Value Series or generate 17.47% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Lord Abbett Global vs. Small Cap Value Series
Performance |
| Timeline |
| Lord Abbett Global |
| Small Cap Value |
Lord Abbett and Small-cap Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lord Abbett and Small-cap Value
The main advantage of trading using opposite Lord Abbett and Small-cap Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lord Abbett position performs unexpectedly, Small-cap 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 Small-cap Value will offset losses from the drop in Small-cap Value's long position.| Lord Abbett vs. Asg Managed Futures | Lord Abbett vs. Cref Inflation Linked Bond | Lord Abbett vs. Oklahoma College Savings | Lord Abbett vs. Ab Bond Inflation |
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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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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