Correlation Between Small-cap Value and Lebenthal Lisanti
Can any of the company-specific risk be diversified away by investing in both Small-cap Value 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 Small-cap Value and Lebenthal Lisanti into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Small Cap Value Profund and Lebenthal Lisanti Small, you can compare the effects of market volatilities on Small-cap Value 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 Small-cap Value with a short position of Lebenthal Lisanti. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small-cap Value and Lebenthal Lisanti.
Diversification Opportunities for Small-cap Value and Lebenthal Lisanti
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Small-cap and Lebenthal is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value Profund 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 Small-cap Value 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 Small Cap Value Profund 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 Small-cap Value i.e., Small-cap Value and Lebenthal Lisanti go up and down completely randomly.
Pair Corralation between Small-cap Value and Lebenthal Lisanti
Assuming the 90 days horizon Small Cap Value Profund is expected to generate 1.01 times more return on investment than Lebenthal Lisanti. However, Small-cap Value is 1.01 times more volatile than Lebenthal Lisanti Small. It trades about 0.19 of its potential returns per unit of risk. Lebenthal Lisanti Small is currently generating about 0.15 per unit of risk. If you would invest 10,823 in Small Cap Value Profund on August 24, 2024 and sell it today you would earn a total of 769.00 from holding Small Cap Value Profund or generate 7.11% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.65% |
| Values | Daily Returns |
Small Cap Value Profund vs. Lebenthal Lisanti Small
Performance |
| Timeline |
| Small Cap Value |
| Lebenthal Lisanti Small |
Small-cap Value and Lebenthal Lisanti Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small-cap Value and Lebenthal Lisanti
The main advantage of trading using opposite Small-cap Value and Lebenthal Lisanti positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small-cap Value 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.| Small-cap Value vs. Small Cap Value Fund | Small-cap Value vs. Small Cap Profund Small Cap | Small-cap Value vs. Small Cap Profund Small Cap | Small-cap Value vs. Small Cap Value Profund |
| 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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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