Correlation Between Oshaughnessy Market and Vanguard Small-cap
Can any of the company-specific risk be diversified away by investing in both Oshaughnessy Market and Vanguard 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 Oshaughnessy Market and Vanguard Small-cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Oshaughnessy Market Leaders and Vanguard Small Cap Value, you can compare the effects of market volatilities on Oshaughnessy Market and Vanguard 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 Oshaughnessy Market with a short position of Vanguard Small-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Oshaughnessy Market and Vanguard Small-cap.
Diversification Opportunities for Oshaughnessy Market and Vanguard Small-cap
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Oshaughnessy and Vanguard is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Oshaughnessy Market Leaders and Vanguard Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Small Cap and Oshaughnessy Market 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 Oshaughnessy Market Leaders are associated (or correlated) with Vanguard 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 Vanguard Small Cap has no effect on the direction of Oshaughnessy Market i.e., Oshaughnessy Market and Vanguard Small-cap go up and down completely randomly.
Pair Corralation between Oshaughnessy Market and Vanguard Small-cap
Assuming the 90 days horizon Oshaughnessy Market is expected to generate 1.01 times less return on investment than Vanguard Small-cap. But when comparing it to its historical volatility, Oshaughnessy Market Leaders is 1.07 times less risky than Vanguard Small-cap. It trades about 0.05 of its potential returns per unit of risk. Vanguard Small Cap Value is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 3,863 in Vanguard Small Cap Value on October 11, 2024 and sell it today you would earn a total of 896.00 from holding Vanguard Small Cap Value or generate 23.19% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Oshaughnessy Market Leaders vs. Vanguard Small Cap Value
Performance |
| Timeline |
| Oshaughnessy Market |
| Vanguard Small Cap |
Oshaughnessy Market and Vanguard Small-cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Oshaughnessy Market and Vanguard Small-cap
The main advantage of trading using opposite Oshaughnessy Market and Vanguard Small-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Oshaughnessy Market position performs unexpectedly, Vanguard 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 Vanguard Small-cap will offset losses from the drop in Vanguard Small-cap's long position.| Oshaughnessy Market vs. Barings Global Floating | Oshaughnessy Market vs. Ab Global Bond | Oshaughnessy Market vs. Harding Loevner Global | Oshaughnessy Market vs. Ms Global Fixed |
| Vanguard Small-cap vs. Lord Abbett Diversified | Vanguard Small-cap vs. Saat Market Growth | Vanguard Small-cap vs. Oshaughnessy Market Leaders | Vanguard Small-cap vs. Alphacentric Hedged Market |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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