Correlation Between Royce Small-cap and Scharf Fund
Can any of the company-specific risk be diversified away by investing in both Royce Small-cap and Scharf Fund 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 Royce Small-cap and Scharf Fund into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Royce Small Cap Value and Scharf Fund Retail, you can compare the effects of market volatilities on Royce Small-cap and Scharf Fund 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 Royce Small-cap with a short position of Scharf Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Royce Small-cap and Scharf Fund.
Diversification Opportunities for Royce Small-cap and Scharf Fund
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Royce and Scharf is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Royce Small Cap Value and Scharf Fund Retail in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Scharf Fund Retail and Royce Small-cap 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 Royce Small Cap Value are associated (or correlated) with Scharf Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Scharf Fund Retail has no effect on the direction of Royce Small-cap i.e., Royce Small-cap and Scharf Fund go up and down completely randomly.
Pair Corralation between Royce Small-cap and Scharf Fund
Assuming the 90 days horizon Royce Small Cap Value is expected to generate 2.38 times more return on investment than Scharf Fund. However, Royce Small-cap is 2.38 times more volatile than Scharf Fund Retail. It trades about 0.08 of its potential returns per unit of risk. Scharf Fund Retail is currently generating about 0.14 per unit of risk. If you would invest 1,017 in Royce Small Cap Value on September 3, 2024 and sell it today you would earn a total of 132.00 from holding Royce Small Cap Value or generate 12.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Royce Small Cap Value vs. Scharf Fund Retail
Performance |
| Timeline |
| Royce Small Cap |
| Scharf Fund Retail |
Royce Small-cap and Scharf Fund Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Royce Small-cap and Scharf Fund
The main advantage of trading using opposite Royce Small-cap and Scharf Fund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Royce Small-cap position performs unexpectedly, Scharf Fund 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 Scharf Fund will offset losses from the drop in Scharf Fund's long position.| Royce Small-cap vs. Scharf Fund Retail | Royce Small-cap vs. Small Cap Equity | Royce Small-cap vs. Jpmorgan Equity Income | Royce Small-cap vs. Artisan Select Equity |
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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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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