Correlation Between Mesirow Financial and Small Cap
Can any of the company-specific risk be diversified away by investing in both Mesirow Financial 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 Mesirow Financial and Small Cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mesirow Financial Small and Small Cap Value, you can compare the effects of market volatilities on Mesirow Financial 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 Mesirow Financial with a short position of Small Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mesirow Financial and Small Cap.
Diversification Opportunities for Mesirow Financial and Small Cap
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Mesirow and Small is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Mesirow Financial Small and Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value and Mesirow Financial 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 Mesirow Financial Small 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 Mesirow Financial i.e., Mesirow Financial and Small Cap go up and down completely randomly.
Pair Corralation between Mesirow Financial and Small Cap
Assuming the 90 days horizon Mesirow Financial is expected to generate 2.01 times less return on investment than Small Cap. But when comparing it to its historical volatility, Mesirow Financial Small is 1.34 times less risky than Small Cap. It trades about 0.18 of its potential returns per unit of risk. Small Cap Value is currently generating about 0.27 of returns per unit of risk over similar time horizon. If you would invest 987.00 in Small Cap Value on September 5, 2024 and sell it today you would earn a total of 97.00 from holding Small Cap Value or generate 9.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Mesirow Financial Small vs. Small Cap Value
Performance |
| Timeline |
| Mesirow Financial Small |
| Small Cap Value |
Mesirow Financial and Small Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mesirow Financial and Small Cap
The main advantage of trading using opposite Mesirow Financial and Small Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mesirow Financial 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.| Mesirow Financial vs. Pioneer High Yield | Mesirow Financial vs. Artisan High Income | Mesirow Financial vs. Vanguard Star Fund | Mesirow Financial vs. Gmo High Yield |
| Small Cap vs. Adams Diversified Equity | Small Cap vs. Wasatch Small Cap | Small Cap vs. Pgim Jennison Diversified | Small Cap vs. Lord Abbett Diversified |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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