Correlation Between AlphaMark Actively and IShares SP
Can any of the company-specific risk be diversified away by investing in both AlphaMark Actively and IShares SP 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 AlphaMark Actively and IShares SP into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AlphaMark Actively Managed and iShares SP Small Cap, you can compare the effects of market volatilities on AlphaMark Actively and IShares SP 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 AlphaMark Actively with a short position of IShares SP. Check out your portfolio center. Please also check ongoing floating volatility patterns of AlphaMark Actively and IShares SP.
Diversification Opportunities for AlphaMark Actively and IShares SP
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between AlphaMark and IShares is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding AlphaMark Actively Managed and iShares SP Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on iShares SP Small and AlphaMark Actively 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 AlphaMark Actively Managed are associated (or correlated) with IShares SP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of iShares SP Small has no effect on the direction of AlphaMark Actively i.e., AlphaMark Actively and IShares SP go up and down completely randomly.
Pair Corralation between AlphaMark Actively and IShares SP
Given the investment horizon of 90 days AlphaMark Actively Managed is expected to under-perform the IShares SP. But the etf apears to be less risky and, when comparing its historical volatility, AlphaMark Actively Managed is 1.06 times less risky than IShares SP. The etf trades about -0.22 of its potential returns per unit of risk. The iShares SP Small Cap is currently generating about -0.21 of returns per unit of risk over similar time horizon. If you would invest 12,763 in iShares SP Small Cap on January 20, 2024 and sell it today you would lose (606.00) from holding iShares SP Small Cap or give up 4.75% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
AlphaMark Actively Managed vs. iShares SP Small Cap
Performance |
| Timeline |
| AlphaMark Actively |
| iShares SP Small |
AlphaMark Actively and IShares SP Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AlphaMark Actively and IShares SP
The main advantage of trading using opposite AlphaMark Actively and IShares SP positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AlphaMark Actively position performs unexpectedly, IShares SP 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 IShares SP will offset losses from the drop in IShares SP's long position.| AlphaMark Actively vs. Vanguard Mid Cap Index | AlphaMark Actively vs. Vanguard Small Cap Value | AlphaMark Actively vs. Vanguard FTSE Emerging | AlphaMark Actively vs. Vanguard Large Cap Index |
| IShares SP vs. Invesco DWA Momentum | IShares SP vs. Invesco DWA Developed | IShares SP vs. Invesco DWA Emerging | IShares SP vs. First Trust Small |
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 Stocks Directory module to find actively traded stocks across global markets.
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