Correlation Between Royce Small-cap and Simt Tax-managed

Can any of the company-specific risk be diversified away by investing in both Royce Small-cap and Simt Tax-managed 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 Royce Small-cap and Simt Tax-managed into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Royce Small Cap Value and Simt Tax Managed International, you can compare the effects of market volatilities on Royce Small-cap and Simt Tax-managed 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 Royce Small-cap with a short position of Simt Tax-managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Royce Small-cap and Simt Tax-managed.

Diversification Opportunities for Royce Small-cap and Simt Tax-managed

0.13

Correlation Coefficient

Royce Small-cap  Simt Tax-managed

Average diversification

The 3 months correlation between Royce and Simt is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Royce Small Cap Value and Simt Tax Managed International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Simt Tax Managed and Royce Small-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 Royce Small Cap Value are associated (or correlated) with Simt Tax-managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Simt Tax Managed has no effect on the direction of Royce Small-cap i.e., Royce Small-cap and Simt Tax-managed go up and down completely randomly.

Pair Corralation between Royce Small-cap and Simt Tax-managed

Assuming the 90 days horizon Royce Small Cap Value is expected to generate 2.42 times more return on investment than Simt Tax-managed. However, Royce Small-cap is 2.42 times more volatile than Simt Tax Managed International. It trades about 0.03 of its potential returns per unit of risk. Simt Tax Managed International is currently generating about 0.06 per unit of risk. If you would invest  1,031  in Royce Small Cap Value on August 15, 2025 and sell it today you would earn a total of  20.00  from holding Royce Small Cap Value or generate 1.94% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Royce Small Cap Value  vs.  Simt Tax Managed International

Royce Small Cap

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Royce Small Cap Value are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Royce Small-cap is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Simt Tax Managed

Risk-Adjusted Performance

Mild

Compared to the overall equity markets, risk-adjusted returns on investments in Simt Tax Managed International are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Simt Tax-managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Royce Small-cap and Simt Tax-managed

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

The idea behind Royce Small Cap Value and Simt Tax Managed International 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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..