Correlation Between Sp Smallcap and Lebenthal Lisanti
Can any of the company-specific risk be diversified away by investing in both Sp Smallcap and Lebenthal Lisanti 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 Sp Smallcap and Lebenthal Lisanti into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sp Smallcap 600 and Lebenthal Lisanti Small, you can compare the effects of market volatilities on Sp Smallcap and Lebenthal Lisanti 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 Sp Smallcap with a short position of Lebenthal Lisanti. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sp Smallcap and Lebenthal Lisanti.
Diversification Opportunities for Sp Smallcap and Lebenthal Lisanti
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between RYSVX and Lebenthal is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Sp Smallcap 600 and Lebenthal Lisanti Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lebenthal Lisanti Small and Sp Smallcap 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 Sp Smallcap 600 are associated (or correlated) with Lebenthal Lisanti. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lebenthal Lisanti Small has no effect on the direction of Sp Smallcap i.e., Sp Smallcap and Lebenthal Lisanti go up and down completely randomly.
Pair Corralation between Sp Smallcap and Lebenthal Lisanti
Assuming the 90 days horizon Sp Smallcap 600 is expected to generate 0.69 times more return on investment than Lebenthal Lisanti. However, Sp Smallcap 600 is 1.44 times less risky than Lebenthal Lisanti. It trades about 0.03 of its potential returns per unit of risk. Lebenthal Lisanti Small is currently generating about -0.03 per unit of risk. If you would invest 21,830 in Sp Smallcap 600 on September 12, 2024 and sell it today you would earn a total of 111.00 from holding Sp Smallcap 600 or generate 0.51% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sp Smallcap 600 vs. Lebenthal Lisanti Small
Performance |
| Timeline |
| Sp Smallcap 600 |
| Lebenthal Lisanti Small |
Sp Smallcap and Lebenthal Lisanti Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sp Smallcap and Lebenthal Lisanti
The main advantage of trading using opposite Sp Smallcap and Lebenthal Lisanti positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sp Smallcap position performs unexpectedly, Lebenthal Lisanti 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 Lebenthal Lisanti will offset losses from the drop in Lebenthal Lisanti's long position.| Sp Smallcap vs. Vanguard Small Cap Value | Sp Smallcap vs. SCOR PK | Sp Smallcap vs. Morningstar Unconstrained Allocation | Sp Smallcap vs. Thrivent High Yield |
| Lebenthal Lisanti vs. Lord Abbett Growth | Lebenthal Lisanti vs. Queens Road Small | Lebenthal Lisanti vs. Eaton Vance Large Cap |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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