Correlation Between Fuller Thaler and Jacob Micro

Can any of the company-specific risk be diversified away by investing in both Fuller Thaler and Jacob 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 Fuller Thaler and Jacob Micro into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Fuller Thaler Behavioral and Jacob Micro Cap, you can compare the effects of market volatilities on Fuller Thaler and Jacob 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 Fuller Thaler with a short position of Jacob Micro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fuller Thaler and Jacob Micro.

Diversification Opportunities for Fuller Thaler and Jacob Micro

0.37

Correlation Coefficient

Fuller Thaler  Jacob Micro

Weak diversification

The 3 months correlation between Fuller and Jacob is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Fuller Thaler Behavioral and Jacob Micro Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jacob Micro Cap and Fuller Thaler 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 Fuller Thaler Behavioral are associated (or correlated) with Jacob Micro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jacob Micro Cap has no effect on the direction of Fuller Thaler i.e., Fuller Thaler and Jacob Micro go up and down completely randomly.

Pair Corralation between Fuller Thaler and Jacob Micro

Assuming the 90 days horizon Fuller Thaler Behavioral is expected to under-perform the Jacob Micro. But the mutual fund apears to be less risky and, when comparing its historical volatility, Fuller Thaler Behavioral is 1.11 times less risky than Jacob Micro. The mutual fund trades about -0.4 of its potential returns per unit of risk. The Jacob Micro Cap is currently generating about -0.16 of returns per unit of risk over similar time horizon. If you would invest  2,382  in Jacob Micro Cap on December 5, 2024 and sell it today you would lose (143.00) from holding Jacob Micro Cap or give up 6.0% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Fuller Thaler Behavioral  vs.  Jacob Micro Cap

Fuller Thaler Behavioral

Risk-Adjusted Performance

Very Weak

Over the last 90 days Fuller Thaler Behavioral has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's technical and fundamental indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Jacob Micro Cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Jacob Micro Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's technical and fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Fuller Thaler and Jacob Micro

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

The idea behind Fuller Thaler Behavioral and Jacob Micro Cap 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.