Correlation Between Ivy Large and Lebenthal Lisanti
Can any of the company-specific risk be diversified away by investing in both Ivy Large and Lebenthal Lisanti 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 Ivy Large and Lebenthal Lisanti into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ivy Large Cap and Lebenthal Lisanti Small, you can compare the effects of market volatilities on Ivy Large and Lebenthal Lisanti 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 Ivy Large with a short position of Lebenthal Lisanti. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ivy Large and Lebenthal Lisanti.
Diversification Opportunities for Ivy Large and Lebenthal Lisanti
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Ivy and Lebenthal is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Ivy Large Cap and Lebenthal Lisanti Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lebenthal Lisanti Small and Ivy Large 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 Ivy Large Cap are associated (or correlated) with Lebenthal Lisanti. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lebenthal Lisanti Small has no effect on the direction of Ivy Large i.e., Ivy Large and Lebenthal Lisanti go up and down completely randomly.
Pair Corralation between Ivy Large and Lebenthal Lisanti
Assuming the 90 days horizon Ivy Large Cap is expected to generate 0.64 times more return on investment than Lebenthal Lisanti. However, Ivy Large Cap is 1.57 times less risky than Lebenthal Lisanti. It trades about -0.08 of its potential returns per unit of risk. Lebenthal Lisanti Small is currently generating about -0.19 per unit of risk. If you would invest 3,656 in Ivy Large Cap on December 28, 2024 and sell it today you would lose (202.00) from holding Ivy Large Cap or give up 5.53% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 98.36% |
Values | Daily Returns |
Ivy Large Cap vs. Lebenthal Lisanti Small
Performance |
Timeline |
Ivy Large Cap |
Lebenthal Lisanti Small |
Ivy Large and Lebenthal Lisanti Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Ivy Large and Lebenthal Lisanti
The main advantage of trading using opposite Ivy Large and Lebenthal Lisanti positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ivy Large position performs unexpectedly, Lebenthal Lisanti 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 Lebenthal Lisanti will offset losses from the drop in Lebenthal Lisanti's long position.Ivy Large vs. Calamos Dynamic Convertible | Ivy Large vs. Absolute Convertible Arbitrage | Ivy Large vs. Putnam Convertible Securities | Ivy Large vs. Lord Abbett Convertible |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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