Correlation Between Lsv Small and State Street
Can any of the company-specific risk be diversified away by investing in both Lsv Small and State Street 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 State Street 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 State Street Global, you can compare the effects of market volatilities on Lsv Small and State Street 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 State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lsv Small and State Street.
Diversification Opportunities for Lsv Small and State Street
0.13 | Correlation Coefficient |
Average diversification
The 3 months correlation between Lsv and State is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Lsv Small Cap and State Street Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Global 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 State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Global has no effect on the direction of Lsv Small i.e., Lsv Small and State Street go up and down completely randomly.
Pair Corralation between Lsv Small and State Street
Assuming the 90 days horizon Lsv Small Cap is expected to under-perform the State Street. In addition to that, Lsv Small is 1.19 times more volatile than State Street Global. It trades about -0.37 of its total potential returns per unit of risk. State Street Global is currently generating about -0.38 per unit of volatility. If you would invest 11,097 in State Street Global on October 7, 2024 and sell it today you would lose (857.00) from holding State Street Global or give up 7.72% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lsv Small Cap vs. State Street Global
Performance |
| Timeline |
| Lsv Small Cap |
| State Street Global |
Lsv Small and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lsv Small and State Street
The main advantage of trading using opposite Lsv Small and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lsv Small position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| Lsv Small vs. Amg Timessquare Mid | Lsv Small vs. Lsv Value Equity | Lsv Small vs. Baron Discovery Fund | Lsv Small vs. Victory Sycamore Established |
| State Street vs. Fmasx | State Street vs. Rational Dividend Capture | State Street vs. Semiconductor Ultrasector Profund | State Street vs. Ab E Opportunities |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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