Correlation Between L Abbett and Small Cap
Can any of the company-specific risk be diversified away by investing in both L Abbett 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 L Abbett and Small Cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between L Abbett Growth and Small Cap Value Series, you can compare the effects of market volatilities on L Abbett 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 L Abbett with a short position of Small Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of L Abbett and Small Cap.
Diversification Opportunities for L Abbett and Small Cap
Very poor diversification
The 3 months correlation between LGLSX and Small is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding L Abbett Growth 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 L 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 L Abbett Growth 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 L Abbett i.e., L Abbett and Small Cap go up and down completely randomly.
Pair Corralation between L Abbett and Small Cap
Assuming the 90 days horizon L Abbett Growth is expected to generate 1.16 times more return on investment than Small Cap. However, L Abbett is 1.16 times more volatile than Small Cap Value Series. It trades about 0.09 of its potential returns per unit of risk. Small Cap Value Series is currently generating about 0.06 per unit of risk. If you would invest 2,638 in L Abbett Growth on August 26, 2024 and sell it today you would earn a total of 2,150 from holding L Abbett Growth or generate 81.5% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
L Abbett Growth vs. Small Cap Value Series
Performance |
| Timeline |
| L Abbett Growth |
| Small Cap Value |
L Abbett and Small Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with L Abbett and Small Cap
The main advantage of trading using opposite L Abbett and Small Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if L Abbett 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.| L Abbett vs. Oppenheimer Gold Special | L Abbett vs. International Investors Gold | L Abbett vs. Precious Metals And | L Abbett vs. Global Gold Fund |
| Small Cap vs. Lord Abbett Trust | Small Cap vs. Lord Abbett Trust | Small Cap vs. Lord Abbett Focused | Small Cap vs. Floating Rate Fund |
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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