Correlation Between Simt Mid and Simt Large
Can any of the company-specific risk be diversified away by investing in both Simt Mid and Simt Large 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 Simt Mid and Simt Large into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Simt Mid Cap and Simt Large Cap, you can compare the effects of market volatilities on Simt Mid and Simt Large 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 Simt Mid with a short position of Simt Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Simt Mid and Simt Large.
Diversification Opportunities for Simt Mid and Simt Large
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Simt and Simt is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Simt Mid Cap and Simt Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Simt Large Cap and Simt 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 Simt Mid Cap are associated (or correlated) with Simt Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Simt Large Cap has no effect on the direction of Simt Mid i.e., Simt Mid and Simt Large go up and down completely randomly.
Pair Corralation between Simt Mid and Simt Large
Assuming the 90 days horizon Simt Mid Cap is expected to generate 0.72 times more return on investment than Simt Large. However, Simt Mid Cap is 1.39 times less risky than Simt Large. It trades about -0.04 of its potential returns per unit of risk. Simt Large Cap is currently generating about -0.08 per unit of risk. If you would invest 3,026 in Simt Mid Cap on December 27, 2024 and sell it today you would lose (81.00) from holding Simt Mid Cap or give up 2.68% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Simt Mid Cap vs. Simt Large Cap
Performance |
Timeline |
Simt Mid Cap |
Simt Large Cap |
Simt Mid and Simt Large Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Simt Mid and Simt Large
The main advantage of trading using opposite Simt Mid and Simt Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Simt Mid position performs unexpectedly, Simt Large 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 Simt Large will offset losses from the drop in Simt Large's long position.Simt Mid vs. Simt Mid Cap | Simt Mid vs. Simt Mid Cap | Simt Mid vs. Victory Sycamore Established | Simt Mid vs. Jpmorgan Value Advantage |
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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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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