Correlation Between Sp Smallcap and Catalyst/millburn

Can any of the company-specific risk be diversified away by investing in both Sp Smallcap and Catalyst/millburn 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 Sp Smallcap and Catalyst/millburn into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sp Smallcap 600 and Catalystmillburn Hedge Strategy, you can compare the effects of market volatilities on Sp Smallcap and Catalyst/millburn 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 Sp Smallcap with a short position of Catalyst/millburn. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sp Smallcap and Catalyst/millburn.

Diversification Opportunities for Sp Smallcap and Catalyst/millburn

0.89

Correlation Coefficient

Sp Smallcap  Catalyst/millburn

Very poor diversification

The 3 months correlation between RYSVX and Catalyst/millburn is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Sp Smallcap 600 and Catalystmillburn Hedge Strateg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Catalystmillburn Hedge and Sp Smallcap 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 Sp Smallcap 600 are associated (or correlated) with Catalyst/millburn. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Catalystmillburn Hedge has no effect on the direction of Sp Smallcap i.e., Sp Smallcap and Catalyst/millburn go up and down completely randomly.

Pair Corralation between Sp Smallcap and Catalyst/millburn

Assuming the 90 days horizon Sp Smallcap 600 is expected to under-perform the Catalyst/millburn. In addition to that, Sp Smallcap is 1.82 times more volatile than Catalystmillburn Hedge Strategy. It trades about -0.13 of its total potential returns per unit of risk. Catalystmillburn Hedge Strategy is currently generating about -0.04 per unit of volatility. If you would invest  3,887  in Catalystmillburn Hedge Strategy on December 25, 2024 and sell it today you would lose (69.00) from holding Catalystmillburn Hedge Strategy or give up 1.78% of portfolio value over 90 days.

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

Sp Smallcap 600  vs.  Catalystmillburn Hedge Strateg

Sp Smallcap 600

Risk-Adjusted Performance

Very Weak

Over the last 90 days Sp Smallcap 600 has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Catalystmillburn Hedge

Risk-Adjusted Performance

Very Weak

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

Pair Trading with Sp Smallcap and Catalyst/millburn

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

The idea behind Sp Smallcap 600 and Catalystmillburn Hedge Strategy 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.

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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.