Correlation Between Jacob Small and Schwartz Value
Can any of the company-specific risk be diversified away by investing in both Jacob Small and Schwartz 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 Jacob Small and Schwartz Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Jacob Small Cap and Schwartz Value Focused, you can compare the effects of market volatilities on Jacob Small and Schwartz 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 Jacob Small with a short position of Schwartz Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jacob Small and Schwartz Value.
Diversification Opportunities for Jacob Small and Schwartz Value
0.41 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Jacob and Schwartz is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding Jacob Small Cap and Schwartz Value Focused in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Schwartz Value Focused and Jacob 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 Jacob Small Cap are associated (or correlated) with Schwartz Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Schwartz Value Focused has no effect on the direction of Jacob Small i.e., Jacob Small and Schwartz Value go up and down completely randomly.
Pair Corralation between Jacob Small and Schwartz Value
Assuming the 90 days horizon Jacob Small Cap is expected to generate 1.29 times more return on investment than Schwartz Value. However, Jacob Small is 1.29 times more volatile than Schwartz Value Focused. It trades about 0.07 of its potential returns per unit of risk. Schwartz Value Focused is currently generating about 0.06 per unit of risk. If you would invest 1,351 in Jacob Small Cap on December 7, 2024 and sell it today you would earn a total of 684.00 from holding Jacob Small Cap or generate 50.63% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Jacob Small Cap vs. Schwartz Value Focused
Performance |
Timeline |
Jacob Small Cap |
Schwartz Value Focused |
Jacob Small and Schwartz Value Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Jacob Small and Schwartz Value
The main advantage of trading using opposite Jacob Small and Schwartz Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jacob Small position performs unexpectedly, Schwartz 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 Schwartz Value will offset losses from the drop in Schwartz Value's long position.Jacob Small vs. Jacob Micro Cap | Jacob Small vs. Jacob Internet Fund | Jacob Small vs. Oberweis Small Cap Opportunities | Jacob Small vs. Needham Small Cap |
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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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