Correlation Between Wasatch Small and Small-cap Value
Can any of the company-specific risk be diversified away by investing in both Wasatch Small and Small-cap Value 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 Small and Small-cap Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Wasatch Small Cap and Small Cap Value Series, you can compare the effects of market volatilities on Wasatch Small and Small-cap Value 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 Small with a short position of Small-cap Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wasatch Small and Small-cap Value.
Diversification Opportunities for Wasatch Small and Small-cap Value
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Wasatch and Small-cap is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Small Cap and Small Cap Value Series in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value and Wasatch Small 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 Small Cap are associated (or correlated) with Small-cap Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Value has no effect on the direction of Wasatch Small i.e., Wasatch Small and Small-cap Value go up and down completely randomly.
Pair Corralation between Wasatch Small and Small-cap Value
Assuming the 90 days horizon Wasatch Small Cap is expected to under-perform the Small-cap Value. In addition to that, Wasatch Small is 1.16 times more volatile than Small Cap Value Series. It trades about -0.05 of its total potential returns per unit of risk. Small Cap Value Series is currently generating about -0.03 per unit of volatility. If you would invest 1,704 in Small Cap Value Series on October 21, 2024 and sell it today you would lose (123.00) from holding Small Cap Value Series or give up 7.22% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Wasatch Small Cap vs. Small Cap Value Series
Performance |
| Timeline |
| Wasatch Small Cap |
| Small Cap Value |
Wasatch Small and Small-cap Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Wasatch Small and Small-cap Value
The main advantage of trading using opposite Wasatch Small and Small-cap Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wasatch Small position performs unexpectedly, Small-cap Value 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 Small-cap Value will offset losses from the drop in Small-cap Value's long position.| Wasatch Small vs. Transamerica Asset Allocation | Wasatch Small vs. Gmo Global Equity | Wasatch Small vs. Qs Global Equity | Wasatch Small vs. Mirova Global Green |
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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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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