Correlation Between Lsv Small and Catalyst/millburn
Can any of the company-specific risk be diversified away by investing in both Lsv Small and Catalyst/millburn 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 Lsv Small and Catalyst/millburn into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lsv Small Cap and Catalystmillburn Hedge Strategy, you can compare the effects of market volatilities on Lsv Small and Catalyst/millburn 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 Lsv Small with a short position of Catalyst/millburn. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lsv Small and Catalyst/millburn.
Diversification Opportunities for Lsv Small and Catalyst/millburn
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Lsv and Catalyst/millburn is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Lsv Small Cap and Catalystmillburn Hedge Strateg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Catalystmillburn Hedge and Lsv 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 Lsv Small Cap are associated (or correlated) with Catalyst/millburn. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Catalystmillburn Hedge has no effect on the direction of Lsv Small i.e., Lsv Small and Catalyst/millburn go up and down completely randomly.
Pair Corralation between Lsv Small and Catalyst/millburn
Assuming the 90 days horizon Lsv Small Cap is expected to generate 1.63 times more return on investment than Catalyst/millburn. However, Lsv Small is 1.63 times more volatile than Catalystmillburn Hedge Strategy. It trades about 0.05 of its potential returns per unit of risk. Catalystmillburn Hedge Strategy is currently generating about 0.04 per unit of risk. If you would invest 1,609 in Lsv Small Cap on August 29, 2024 and sell it today you would earn a total of 478.00 from holding Lsv Small Cap or generate 29.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lsv Small Cap vs. Catalystmillburn Hedge Strateg
Performance |
| Timeline |
| Lsv Small Cap |
| Catalystmillburn Hedge |
Lsv Small and Catalyst/millburn Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lsv Small and Catalyst/millburn
The main advantage of trading using opposite Lsv Small and Catalyst/millburn positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lsv Small position performs unexpectedly, Catalyst/millburn 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 Catalyst/millburn will offset losses from the drop in Catalyst/millburn's long position.| Lsv Small vs. Lifestyle Ii Moderate | Lsv Small vs. Pgim Conservative Retirement | Lsv Small vs. Pro Blend Moderate Term | Lsv Small vs. Wisdomtree Siegel Moderate |
| Catalyst/millburn vs. Balanced Fund Investor | Catalyst/millburn vs. Rbc Microcap Value | Catalyst/millburn vs. Volumetric Fund Volumetric | Catalyst/millburn vs. Scharf Global Opportunity |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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