Correlation Between Sp Midcap and Small-cap Value
Can any of the company-specific risk be diversified away by investing in both Sp Midcap and Small-cap Value 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 Midcap and Small-cap Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sp Midcap Index and Small Cap Value Fund, you can compare the effects of market volatilities on Sp Midcap and Small-cap Value 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 Midcap with a short position of Small-cap Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sp Midcap and Small-cap Value.
Diversification Opportunities for Sp Midcap and Small-cap Value
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between SPMIX and Small-cap is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Sp Midcap Index and Small Cap Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value and Sp Midcap 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 Midcap Index are associated (or correlated) with Small-cap Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Value has no effect on the direction of Sp Midcap i.e., Sp Midcap and Small-cap Value go up and down completely randomly.
Pair Corralation between Sp Midcap and Small-cap Value
Assuming the 90 days horizon Sp Midcap Index is expected to generate 0.86 times more return on investment than Small-cap Value. However, Sp Midcap Index is 1.16 times less risky than Small-cap Value. It trades about -0.04 of its potential returns per unit of risk. Small Cap Value Fund is currently generating about -0.04 per unit of risk. If you would invest 2,705 in Sp Midcap Index on October 16, 2024 and sell it today you would lose (175.00) from holding Sp Midcap Index or give up 6.47% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.19% |
| Values | Daily Returns |
Sp Midcap Index vs. Small Cap Value Fund
Performance |
| Timeline |
| Sp Midcap Index |
| Small Cap Value |
Sp Midcap and Small-cap Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sp Midcap and Small-cap Value
The main advantage of trading using opposite Sp Midcap and Small-cap Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sp Midcap position performs unexpectedly, Small-cap Value 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 Small-cap Value will offset losses from the drop in Small-cap Value's long position.| Sp Midcap vs. Boston Partners Small | Sp Midcap vs. Fidelity Small Cap | Sp Midcap vs. Valic Company I | Sp Midcap vs. William Blair Small |
| Small-cap Value vs. Enhanced Fixed Income | Small-cap Value vs. Artisan Select Equity | Small-cap Value vs. Monteagle Enhanced Equity | Small-cap Value vs. Qs Global Equity |
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 Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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