Correlation Between Small Cap and Intech Managed
Can any of the company-specific risk be diversified away by investing in both Small Cap and Intech Managed 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 and Intech Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Small Cap Stock and Intech Managed Volatility, you can compare the effects of market volatilities on Small Cap and Intech Managed 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 with a short position of Intech Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Cap and Intech Managed.
Diversification Opportunities for Small Cap and Intech Managed
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Small and Intech is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Stock and Intech Managed Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Intech Managed Volatility and 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 Small Cap Stock are associated (or correlated) with Intech Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Intech Managed Volatility has no effect on the direction of Small Cap i.e., Small Cap and Intech Managed go up and down completely randomly.
Pair Corralation between Small Cap and Intech Managed
Assuming the 90 days horizon Small Cap Stock is expected to generate 1.51 times more return on investment than Intech Managed. However, Small Cap is 1.51 times more volatile than Intech Managed Volatility. It trades about 0.08 of its potential returns per unit of risk. Intech Managed Volatility is currently generating about -0.01 per unit of risk. If you would invest 1,441 in Small Cap Stock on September 12, 2024 and sell it today you would earn a total of 61.00 from holding Small Cap Stock or generate 4.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 97.62% |
| Values | Daily Returns |
Small Cap Stock vs. Intech Managed Volatility
Performance |
| Timeline |
| Small Cap Stock |
| Intech Managed Volatility |
Small Cap and Intech Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small Cap and Intech Managed
The main advantage of trading using opposite Small Cap and Intech Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small Cap position performs unexpectedly, Intech Managed 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 Intech Managed will offset losses from the drop in Intech Managed's long position.| Small Cap vs. Shelton Emerging Markets | Small Cap vs. Kinetics Market Opportunities | Small Cap vs. Siit Emerging Markets | Small Cap vs. Investec Emerging Markets |
| Intech Managed vs. Goldman Sachs Technology | Intech Managed vs. Icon Information Technology | Intech Managed vs. Technology Ultrasector Profund | Intech Managed vs. Firsthand Technology Opportunities |
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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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