Correlation Between Cref Inflation-linked and Omni Small-cap
Can any of the company-specific risk be diversified away by investing in both Cref Inflation-linked and Omni 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 Cref Inflation-linked and Omni Small-cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Cref Inflation Linked Bond and Omni Small Cap Value, you can compare the effects of market volatilities on Cref Inflation-linked and Omni 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 Cref Inflation-linked with a short position of Omni Small-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Cref Inflation-linked and Omni Small-cap.
Diversification Opportunities for Cref Inflation-linked and Omni Small-cap
-0.44 | Correlation Coefficient |
Very good diversification
The 3 months correlation between CREF and Omni is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding Cref Inflation Linked Bond and Omni Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Omni Small Cap and Cref Inflation-linked 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 Cref Inflation Linked Bond are associated (or correlated) with Omni 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 Omni Small Cap has no effect on the direction of Cref Inflation-linked i.e., Cref Inflation-linked and Omni Small-cap go up and down completely randomly.
Pair Corralation between Cref Inflation-linked and Omni Small-cap
Assuming the 90 days trading horizon Cref Inflation-linked is expected to generate 13.4 times less return on investment than Omni Small-cap. But when comparing it to its historical volatility, Cref Inflation Linked Bond is 11.18 times less risky than Omni Small-cap. It trades about 0.2 of its potential returns per unit of risk. Omni Small Cap Value is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 1,954 in Omni Small Cap Value on September 3, 2024 and sell it today you would earn a total of 183.00 from holding Omni Small Cap Value or generate 9.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Cref Inflation Linked Bond vs. Omni Small Cap Value
Performance |
| Timeline |
| Cref Inflation Linked |
| Omni Small Cap |
Cref Inflation-linked and Omni Small-cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Cref Inflation-linked and Omni Small-cap
The main advantage of trading using opposite Cref Inflation-linked and Omni Small-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Cref Inflation-linked position performs unexpectedly, Omni 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 Omni Small-cap will offset losses from the drop in Omni Small-cap's long position.The idea behind Cref Inflation Linked Bond and Omni Small Cap Value pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
| Omni Small-cap vs. Vanguard Small Cap Value | Omni Small-cap vs. Vanguard Small Cap Value | Omni Small-cap vs. Us Small Cap | Omni Small-cap vs. Us Targeted Value |
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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