Correlation Between Small-cap Value and Massmutual Select
Can any of the company-specific risk be diversified away by investing in both Small-cap Value and Massmutual Select 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 Small-cap Value and Massmutual Select into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Small Cap Value Fund and Massmutual Select Mid Cap, you can compare the effects of market volatilities on Small-cap Value and Massmutual Select 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 Small-cap Value with a short position of Massmutual Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small-cap Value and Massmutual Select.
Diversification Opportunities for Small-cap Value and Massmutual Select
0.24 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Small-cap and Massmutual is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value Fund and Massmutual Select Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Select Mid and Small-cap Value 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 Small Cap Value Fund are associated (or correlated) with Massmutual Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Massmutual Select Mid has no effect on the direction of Small-cap Value i.e., Small-cap Value and Massmutual Select go up and down completely randomly.
Pair Corralation between Small-cap Value and Massmutual Select
Assuming the 90 days horizon Small Cap Value Fund is expected to under-perform the Massmutual Select. In addition to that, Small-cap Value is 1.4 times more volatile than Massmutual Select Mid Cap. It trades about -0.03 of its total potential returns per unit of risk. Massmutual Select Mid Cap is currently generating about -0.01 per unit of volatility. If you would invest 1,209 in Massmutual Select Mid Cap on December 11, 2024 and sell it today you would lose (37.00) from holding Massmutual Select Mid Cap or give up 3.06% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.63% |
| Values | Daily Returns |
Small Cap Value Fund vs. Massmutual Select Mid Cap
Performance |
| Timeline |
| Small Cap Value |
| Massmutual Select Mid |
Small-cap Value and Massmutual Select Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small-cap Value and Massmutual Select
The main advantage of trading using opposite Small-cap Value and Massmutual Select positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small-cap Value position performs unexpectedly, Massmutual Select 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 Massmutual Select will offset losses from the drop in Massmutual Select's long position.| Small-cap Value vs. Wells Fargo Diversified | ||
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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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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