Correlation Between Wasatch Large and Wasatch Micro
Can any of the company-specific risk be diversified away by investing in both Wasatch Large and Wasatch Micro 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 Wasatch Large and Wasatch Micro into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Wasatch Large Cap and Wasatch Micro Cap, you can compare the effects of market volatilities on Wasatch Large and Wasatch Micro 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 Wasatch Large with a short position of Wasatch Micro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wasatch Large and Wasatch Micro.
Diversification Opportunities for Wasatch Large and Wasatch Micro
-0.17 | Correlation Coefficient |
Good diversification
The 3 months correlation between Wasatch and Wasatch is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Large Cap and Wasatch Micro Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Wasatch Micro Cap and Wasatch Large 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 Wasatch Large Cap are associated (or correlated) with Wasatch Micro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Wasatch Micro Cap has no effect on the direction of Wasatch Large i.e., Wasatch Large and Wasatch Micro go up and down completely randomly.
Pair Corralation between Wasatch Large and Wasatch Micro
Assuming the 90 days horizon Wasatch Large is expected to generate 9.88 times less return on investment than Wasatch Micro. But when comparing it to its historical volatility, Wasatch Large Cap is 2.98 times less risky than Wasatch Micro. It trades about 0.11 of its potential returns per unit of risk. Wasatch Micro Cap is currently generating about 0.36 of returns per unit of risk over similar time horizon. If you would invest 400.00 in Wasatch Micro Cap on August 28, 2024 and sell it today you would earn a total of 48.00 from holding Wasatch Micro Cap or generate 12.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Wasatch Large Cap vs. Wasatch Micro Cap
Performance |
| Timeline |
| Wasatch Large Cap |
| Wasatch Micro Cap |
Wasatch Large and Wasatch Micro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Wasatch Large and Wasatch Micro
The main advantage of trading using opposite Wasatch Large and Wasatch Micro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wasatch Large position performs unexpectedly, Wasatch Micro 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 Wasatch Micro will offset losses from the drop in Wasatch Micro's long position.| Wasatch Large vs. Wasatch Small Cap | Wasatch Large vs. Wasatch Emerging Markets | Wasatch Large vs. Wasatch Emerging Markets | Wasatch Large vs. Wasatch Global Select |
| Wasatch Micro vs. Ips Strategic Capital | Wasatch Micro vs. Qs Growth Fund | Wasatch Micro vs. Omni Small Cap Value | Wasatch Micro vs. Qs 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 Global Correlations module to find global opportunities by holding instruments from different markets.
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