Correlation Between Large Cap and Intech Managed
Can any of the company-specific risk be diversified away by investing in both Large Cap and Intech 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 Large Cap and Intech Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Large Cap Growth and Intech Managed Volatility, you can compare the effects of market volatilities on Large Cap and Intech 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 Large Cap with a short position of Intech Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Large Cap and Intech Managed.
Diversification Opportunities for Large Cap and Intech Managed
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Large and Intech is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Growth and Intech Managed Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Intech Managed Volatility and Large 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 Large Cap Growth are associated (or correlated) with Intech Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Intech Managed Volatility has no effect on the direction of Large Cap i.e., Large Cap and Intech Managed go up and down completely randomly.
Pair Corralation between Large Cap and Intech Managed
Assuming the 90 days horizon Large Cap Growth is expected to generate 1.91 times more return on investment than Intech Managed. However, Large Cap is 1.91 times more volatile than Intech Managed Volatility. It trades about 0.19 of its potential returns per unit of risk. Intech Managed Volatility is currently generating about 0.11 per unit of risk. If you would invest 3,753 in Large Cap Growth on September 12, 2024 and sell it today you would earn a total of 134.00 from holding Large Cap Growth or generate 3.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Large Cap Growth vs. Intech Managed Volatility
Performance |
| Timeline |
| Large Cap Growth |
| Intech Managed Volatility |
Large Cap and Intech Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Large Cap and Intech Managed
The main advantage of trading using opposite Large Cap and Intech Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Large Cap position performs unexpectedly, Intech 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 Intech Managed will offset losses from the drop in Intech Managed's long position.| Large Cap vs. Large Cap E | Large Cap vs. International Fund International | Large Cap vs. Parnassus Endeavor Fund | Large Cap vs. Parnassus E Equity |
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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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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