Correlation Between Wasatch Small and State Street
Can any of the company-specific risk be diversified away by investing in both Wasatch Small and State Street 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 State Street 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 State Street Target, you can compare the effects of market volatilities on Wasatch Small and State Street 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 State Street. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wasatch Small and State Street.
Diversification Opportunities for Wasatch Small and State Street
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Wasatch and State is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Wasatch Small Cap and State Street Target in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on State Street Target 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 State Street. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of State Street Target has no effect on the direction of Wasatch Small i.e., Wasatch Small and State Street go up and down completely randomly.
Pair Corralation between Wasatch Small and State Street
Assuming the 90 days horizon Wasatch Small Cap is expected to generate 5.13 times more return on investment than State Street. However, Wasatch Small is 5.13 times more volatile than State Street Target. It trades about 0.27 of its potential returns per unit of risk. State Street Target is currently generating about 0.33 per unit of risk. If you would invest 1,141 in Wasatch Small Cap on September 1, 2024 and sell it today you would earn a total of 113.00 from holding Wasatch Small Cap or generate 9.9% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Wasatch Small Cap vs. State Street Target
Performance |
| Timeline |
| Wasatch Small Cap |
| State Street Target |
Wasatch Small and State Street Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Wasatch Small and State Street
The main advantage of trading using opposite Wasatch Small and State Street positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wasatch Small position performs unexpectedly, State Street 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 State Street will offset losses from the drop in State Street's long position.| Wasatch Small vs. Omni Small Cap Value | Wasatch Small vs. Commonwealth Global Fund | Wasatch Small vs. Shelton Funds | Wasatch Small vs. Small Cap Stock |
| State Street vs. Aqr Managed Futures | State Street vs. Western Asset Inflation | State Street vs. Nationwide Inflation Protected Securities | State Street vs. Oklahoma College Savings |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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