Correlation Between Lsv Small and Intal High

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

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

Diversification Opportunities for Lsv Small and Intal High

-0.37

Correlation Coefficient

Lsv Small  Intal High

Very good diversification

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

Pair Corralation between Lsv Small and Intal High

Assuming the 90 days horizon Lsv Small Cap is expected to under-perform the Intal High. In addition to that, Lsv Small is 1.34 times more volatile than Intal High Relative. It trades about -0.09 of its total potential returns per unit of risk. Intal High Relative is currently generating about 0.21 per unit of volatility. If you would invest  1,246  in Intal High Relative on December 19, 2024 and sell it today you would earn a total of  124.00  from holding Intal High Relative or generate 9.95% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Lsv Small Cap  vs.  Intal High Relative

Lsv Small Cap

Risk-Adjusted Performance

Very Weak

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

Intal High Relative

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Intal High Relative are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Intal High may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Lsv Small and Intal High

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

The idea behind Lsv Small Cap and Intal High Relative 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.