Correlation Between Tiaa-cref Small/mid-cap and Dunham Small

Can any of the company-specific risk be diversified away by investing in both Tiaa-cref Small/mid-cap and Dunham Small 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 Tiaa-cref Small/mid-cap and Dunham Small into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Tiaa Cref Smallmid Cap Equity and Dunham Small Cap, you can compare the effects of market volatilities on Tiaa-cref Small/mid-cap and Dunham Small 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 Tiaa-cref Small/mid-cap with a short position of Dunham Small. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tiaa-cref Small/mid-cap and Dunham Small.

Diversification Opportunities for Tiaa-cref Small/mid-cap and Dunham Small

0.83

Correlation Coefficient

Tiaa-cref Small/mid-cap  Dunham Small

Very poor diversification

The 3 months correlation between Tiaa-cref and Dunham is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Tiaa Cref Smallmid Cap Equity and Dunham Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dunham Small Cap and Tiaa-cref Small/mid-cap 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 Tiaa Cref Smallmid Cap Equity are associated (or correlated) with Dunham Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dunham Small Cap has no effect on the direction of Tiaa-cref Small/mid-cap i.e., Tiaa-cref Small/mid-cap and Dunham Small go up and down completely randomly.

Pair Corralation between Tiaa-cref Small/mid-cap and Dunham Small

Assuming the 90 days horizon Tiaa Cref Smallmid Cap Equity is expected to generate 0.89 times more return on investment than Dunham Small. However, Tiaa Cref Smallmid Cap Equity is 1.12 times less risky than Dunham Small. It trades about -0.06 of its potential returns per unit of risk. Dunham Small Cap is currently generating about -0.14 per unit of risk. If you would invest  1,483  in Tiaa Cref Smallmid Cap Equity on December 29, 2024 and sell it today you would lose (69.00) from holding Tiaa Cref Smallmid Cap Equity or give up 4.65% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	98.39%
Values	Daily Returns

Tiaa Cref Smallmid Cap Equity  vs.  Dunham Small Cap

Tiaa-cref Small/mid-cap

Risk-Adjusted Performance

Very Weak

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

Dunham Small Cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Dunham Small Cap 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.

Pair Trading with Tiaa-cref Small/mid-cap and Dunham Small

The main advantage of trading using opposite Tiaa-cref Small/mid-cap and Dunham Small positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tiaa-cref Small/mid-cap position performs unexpectedly, Dunham Small 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 Dunham Small will offset losses from the drop in Dunham Small's long position.

The idea behind Tiaa Cref Smallmid Cap Equity and Dunham Small 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.