Correlation Between Quantitative and Massmutual Select
Can any of the company-specific risk be diversified away by investing in both Quantitative 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 Quantitative and Massmutual Select into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Quantitative U S and Massmutual Select Mid, you can compare the effects of market volatilities on Quantitative 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 Quantitative with a short position of Massmutual Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Quantitative and Massmutual Select.
Diversification Opportunities for Quantitative and Massmutual Select
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Quantitative and Massmutual is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Quantitative U S and Massmutual Select Mid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Select Mid and Quantitative 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 Quantitative U S 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 Quantitative i.e., Quantitative and Massmutual Select go up and down completely randomly.
Pair Corralation between Quantitative and Massmutual Select
Assuming the 90 days horizon Quantitative is expected to generate 1.73 times less return on investment than Massmutual Select. But when comparing it to its historical volatility, Quantitative U S is 1.08 times less risky than Massmutual Select. It trades about 0.09 of its potential returns per unit of risk. Massmutual Select Mid is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 1,544 in Massmutual Select Mid on August 25, 2024 and sell it today you would earn a total of 82.00 from holding Massmutual Select Mid or generate 5.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Quantitative U S vs. Massmutual Select Mid
Performance |
| Timeline |
| Quantitative U S |
| Massmutual Select Mid |
Quantitative and Massmutual Select Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Quantitative and Massmutual Select
The main advantage of trading using opposite Quantitative and Massmutual Select positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Quantitative 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.| Quantitative vs. Franklin Natural Resources | Quantitative vs. Firsthand Alternative Energy | Quantitative vs. Short Oil Gas | Quantitative vs. Gmo Resources |
| Massmutual Select vs. Goldman Sachs Large | Massmutual Select vs. T Rowe Price | Massmutual Select vs. Federated Mdt Large | Massmutual Select vs. Quantitative U S |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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