Correlation Between Multi-manager High and Small Company
Can any of the company-specific risk be diversified away by investing in both Multi-manager High and Small Company 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 Multi-manager High and Small Company into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Multi Manager High Yield and Small Pany Value, you can compare the effects of market volatilities on Multi-manager High and Small Company 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 Multi-manager High with a short position of Small Company. Check out your portfolio center. Please also check ongoing floating volatility patterns of Multi-manager High and Small Company.
Diversification Opportunities for Multi-manager High and Small Company
0.11 | Correlation Coefficient |
Average diversification
The 3 months correlation between Multi-manager and Small is 0.11. Overlapping area represents the amount of risk that can be diversified away by holding Multi Manager High Yield and Small Pany Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Pany Value and Multi-manager High 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 Multi Manager High Yield are associated (or correlated) with Small Company. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Pany Value has no effect on the direction of Multi-manager High i.e., Multi-manager High and Small Company go up and down completely randomly.
Pair Corralation between Multi-manager High and Small Company
Assuming the 90 days horizon Multi-manager High is expected to generate 5.17 times less return on investment than Small Company. But when comparing it to its historical volatility, Multi Manager High Yield is 6.79 times less risky than Small Company. It trades about 0.31 of its potential returns per unit of risk. Small Pany Value is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 3,681 in Small Pany Value on October 24, 2024 and sell it today you would earn a total of 159.00 from holding Small Pany Value or generate 4.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Multi Manager High Yield vs. Small Pany Value
Performance |
| Timeline |
| Multi Manager High |
| Small Pany Value |
Multi-manager High and Small Company Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Multi-manager High and Small Company
The main advantage of trading using opposite Multi-manager High and Small Company positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Multi-manager High position performs unexpectedly, Small Company 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 Company will offset losses from the drop in Small Company's long position.| Multi-manager High vs. Morningstar Defensive Bond | Multi-manager High vs. Blrc Sgy Mnp | Multi-manager High vs. Georgia Tax Free Bond | Multi-manager High vs. Bbh Intermediate Municipal |
| Small Company vs. Dunham High Yield | Small Company vs. Aqr Risk Parity | Small Company vs. Mesirow Financial High | Small Company vs. Multi Manager High Yield |
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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