Correlation Between Driehaus Small/mid and Driehaus International

Can any of the company-specific risk be diversified away by investing in both Driehaus Small/mid and Driehaus International 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 Driehaus Small/mid and Driehaus International into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Driehaus Smallmid Cap and Driehaus International Small, you can compare the effects of market volatilities on Driehaus Small/mid and Driehaus International 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 Driehaus Small/mid with a short position of Driehaus International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Driehaus Small/mid and Driehaus International.

Diversification Opportunities for Driehaus Small/mid and Driehaus International

-0.62

Correlation Coefficient

Driehaus Small/mid  Driehaus International

Excellent diversification

The 3 months correlation between Driehaus and Driehaus is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding Driehaus Smallmid Cap and Driehaus International Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Driehaus International and Driehaus Small/mid 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 Driehaus Smallmid Cap are associated (or correlated) with Driehaus International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Driehaus International has no effect on the direction of Driehaus Small/mid i.e., Driehaus Small/mid and Driehaus International go up and down completely randomly.

Pair Corralation between Driehaus Small/mid and Driehaus International

Assuming the 90 days horizon Driehaus Smallmid Cap is expected to generate 1.47 times more return on investment than Driehaus International. However, Driehaus Small/mid is 1.47 times more volatile than Driehaus International Small. It trades about 0.21 of its potential returns per unit of risk. Driehaus International Small is currently generating about -0.12 per unit of risk. If you would invest  1,780  in Driehaus Smallmid Cap on August 30, 2024 and sell it today you would earn a total of  296.00  from holding Driehaus Smallmid Cap or generate 16.63% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	98.44%
Values	Daily Returns

Driehaus Smallmid Cap  vs.  Driehaus International Small

Driehaus Smallmid Cap

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Driehaus Smallmid Cap are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Driehaus Small/mid showed solid returns over the last few months and may actually be approaching a breakup point.

Driehaus International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Driehaus International Small has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Driehaus International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Driehaus Small/mid and Driehaus International

The main advantage of trading using opposite Driehaus Small/mid and Driehaus International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Driehaus Small/mid position performs unexpectedly, Driehaus International 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 Driehaus International will offset losses from the drop in Driehaus International's long position.

The idea behind Driehaus Smallmid Cap and Driehaus International Small pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.