Correlation Between Ab Small and Dunham Small
Can any of the company-specific risk be diversified away by investing in both Ab Small and Dunham Small 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 Ab Small and Dunham Small into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ab Small Cap and Dunham Small Cap, you can compare the effects of market volatilities on Ab Small and Dunham Small 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 Ab Small with a short position of Dunham Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Small and Dunham Small.
Diversification Opportunities for Ab Small and Dunham Small
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SCYVX and Dunham is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Ab Small Cap and Dunham Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dunham Small Cap and Ab Small 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 Ab Small Cap are associated (or correlated) with Dunham Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dunham Small Cap has no effect on the direction of Ab Small i.e., Ab Small and Dunham Small go up and down completely randomly.
Pair Corralation between Ab Small and Dunham Small
Assuming the 90 days horizon Ab Small Cap is expected to under-perform the Dunham Small. In addition to that, Ab Small is 1.14 times more volatile than Dunham Small Cap. It trades about -0.31 of its total potential returns per unit of risk. Dunham Small Cap is currently generating about -0.13 per unit of volatility. If you would invest 2,122 in Dunham Small Cap on October 8, 2024 and sell it today you would lose (67.00) from holding Dunham Small Cap or give up 3.16% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ab Small Cap vs. Dunham Small Cap
Performance |
| Timeline |
| Ab Small Cap |
| Dunham Small Cap |
Ab Small and Dunham Small Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ab Small and Dunham Small
The main advantage of trading using opposite Ab Small and Dunham Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Small position performs unexpectedly, Dunham Small 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 Dunham Small will offset losses from the drop in Dunham Small's long position.| Ab Small vs. Msift High Yield | Ab Small vs. Ab High Income | Ab Small vs. Multi Manager High Yield | Ab Small vs. Artisan High Income |
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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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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