Correlation Between Small Cap and Quantitative
Can any of the company-specific risk be diversified away by investing in both Small Cap and Quantitative 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 Quantitative into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Small Cap Special and Quantitative Longshort Equity, you can compare the effects of market volatilities on Small Cap and Quantitative 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 Quantitative. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Cap and Quantitative.
Diversification Opportunities for Small Cap and Quantitative
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Small and Quantitative is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Special and Quantitative Longshort Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Quantitative Longshort 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 Special are associated (or correlated) with Quantitative. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Quantitative Longshort has no effect on the direction of Small Cap i.e., Small Cap and Quantitative go up and down completely randomly.
Pair Corralation between Small Cap and Quantitative
Assuming the 90 days horizon Small Cap Special is expected to generate 2.93 times more return on investment than Quantitative. However, Small Cap is 2.93 times more volatile than Quantitative Longshort Equity. It trades about 0.2 of its potential returns per unit of risk. Quantitative Longshort Equity is currently generating about 0.39 per unit of risk. If you would invest 1,266 in Small Cap Special on August 27, 2024 and sell it today you would earn a total of 87.00 from holding Small Cap Special or generate 6.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Small Cap Special vs. Quantitative Longshort Equity
Performance |
| Timeline |
| Small Cap Special |
| Quantitative Longshort |
Small Cap and Quantitative Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small Cap and Quantitative
The main advantage of trading using opposite Small Cap and Quantitative positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small Cap position performs unexpectedly, Quantitative 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 Quantitative will offset losses from the drop in Quantitative's long position.| Small Cap vs. Quantitative Longshort Equity | Small Cap vs. Ultra Short Term Fixed | Small Cap vs. Ab Select Longshort | Small Cap vs. Nuveen Short Term |
| Quantitative vs. Morgan Stanley Institutional | Quantitative vs. Ab Value Fund | Quantitative vs. Omni Small Cap Value | Quantitative vs. Small Cap Stock |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
Other Complementary Tools
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges |