Correlation Between Undiscovered Managers and Vanguard Small-cap

Specify exactly 2 symbols:
Can any of the company-specific risk be diversified away by investing in both Undiscovered Managers and Vanguard Small-cap 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 Undiscovered Managers and Vanguard Small-cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Undiscovered Managers Behavioral and Vanguard Small Cap Value, you can compare the effects of market volatilities on Undiscovered Managers and Vanguard Small-cap 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 Undiscovered Managers with a short position of Vanguard Small-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Undiscovered Managers and Vanguard Small-cap.

Diversification Opportunities for Undiscovered Managers and Vanguard Small-cap

0.85
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Undiscovered and Vanguard is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding UNDISCOVERED MANAGERS BEHAVIOR and VANGUARD SMALL-CAP VALUE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Small-cap Value and Undiscovered Managers 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 Undiscovered Managers Behavioral are associated (or correlated) with Vanguard Small-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Small-cap Value has no effect on the direction of Undiscovered Managers i.e., Undiscovered Managers and Vanguard Small-cap go up and down completely randomly.

Pair Corralation between Undiscovered Managers and Vanguard Small-cap

Assuming the 90 days horizon Undiscovered Managers Behavioral is expected to generate 0.99 times more return on investment than Vanguard Small-cap. However, Undiscovered Managers Behavioral is 1.02 times less risky than Vanguard Small-cap. It trades about 0.39 of its potential returns per unit of risk. Vanguard Small Cap Value is currently generating about 0.33 per unit of risk. If you would invest  7,948  in Undiscovered Managers Behavioral on December 29, 2023 and sell it today you would earn a total of  536.00  from holding Undiscovered Managers Behavioral or generate 6.74% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy95.65%
ValuesDaily Returns

UNDISCOVERED MANAGERS BEHAVIOR  vs.  VANGUARD SMALL-CAP VALUE

 Performance 
       Timeline  
Undiscovered Managers 

Risk-Adjusted Performance

3 of 100

 
Low
 
High
Insignificant
Compared to the overall equity markets, risk-adjusted returns on investments in Undiscovered Managers Behavioral are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong essential indicators, Undiscovered Managers is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Vanguard Small-cap Value 

Risk-Adjusted Performance

9 of 100

 
Low
 
High
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Vanguard Small Cap Value are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly fragile basic indicators, Vanguard Small-cap may actually be approaching a critical reversion point that can send shares even higher in April 2024.

Undiscovered Managers and Vanguard Small-cap Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Undiscovered Managers and Vanguard Small-cap

The main advantage of trading using opposite Undiscovered Managers and Vanguard Small-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Undiscovered Managers position performs unexpectedly, Vanguard Small-cap 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 Vanguard Small-cap will offset losses from the drop in Vanguard Small-cap's long position.
The idea behind Undiscovered Managers Behavioral and Vanguard Small Cap Value 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 Transaction History module to view history of all your transactions and understand their impact on performance.

Other Complementary Tools

Odds Of Bankruptcy
Get analysis of equity chance of financial distress in the next 2 years
Portfolio Backtesting
Avoid under-diversification and over-optimization by backtesting your portfolios
CEOs Directory
Screen CEOs from public companies around the world
Portfolio Volatility
Check portfolio volatility and analyze historical return density to properly model market risk
Risk-Return Analysis
View associations between returns expected from investment and the risk you assume
Portfolio Diagnostics
Use generated alerts and portfolio events aggregator to diagnose current holdings
FinTech Suite
Use AI to screen and filter profitable investment opportunities
ETF Categories
List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments
Portfolio Manager
State of the art Portfolio Manager to monitor and improve performance of your invested capital
Top Crypto Exchanges
Search and analyze digital assets across top global cryptocurrency exchanges
Idea Analyzer
Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas
Balance Of Power
Check stock momentum by analyzing Balance Of Power indicator and other technical ratios