Correlation Between Small Cap and Miller Market
Can any of the company-specific risk be diversified away by investing in both Small Cap and Miller Market 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 Miller Market 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 Miller Market Neutral, you can compare the effects of market volatilities on Small Cap and Miller Market 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 Miller Market. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Cap and Miller Market.
Diversification Opportunities for Small Cap and Miller Market
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Small and Miller is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Stock and Miller Market Neutral in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Miller Market Neutral 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 Miller Market. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Miller Market Neutral has no effect on the direction of Small Cap i.e., Small Cap and Miller Market go up and down completely randomly.
Pair Corralation between Small Cap and Miller Market
Assuming the 90 days horizon Small Cap Stock is expected to generate 17.44 times more return on investment than Miller Market. However, Small Cap is 17.44 times more volatile than Miller Market Neutral. It trades about 0.23 of its potential returns per unit of risk. Miller Market Neutral is currently generating about 0.41 per unit of risk. If you would invest 1,419 in Small Cap Stock on August 29, 2024 and sell it today you would earn a total of 119.00 from holding Small Cap Stock or generate 8.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Small Cap Stock vs. Miller Market Neutral
Performance |
| Timeline |
| Small Cap Stock |
| Miller Market Neutral |
Small Cap and Miller Market Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small Cap and Miller Market
The main advantage of trading using opposite Small Cap and Miller Market positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small Cap position performs unexpectedly, Miller Market 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 Miller Market will offset losses from the drop in Miller Market's long position.| Small Cap vs. Franklin Adjustable Government | Small Cap vs. Dreyfus Government Cash | Small Cap vs. Lord Abbett Government | Small Cap vs. Inverse Government Long |
| Miller Market vs. Small Cap Stock | Miller Market vs. Rbb Fund | Miller Market vs. Growth Fund Of | Miller Market vs. Issachar Fund Class |
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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
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