Correlation Between Classic Value and Intech Managed
Can any of the company-specific risk be diversified away by investing in both Classic Value 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 Classic Value and Intech Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Classic Value Fund and Intech Managed Volatility, you can compare the effects of market volatilities on Classic Value 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 Classic Value with a short position of Intech Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Classic Value and Intech Managed.
Diversification Opportunities for Classic Value and Intech Managed
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Classic and Intech is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Classic Value Fund 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 Classic 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 Classic Value Fund 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 Classic Value i.e., Classic Value and Intech Managed go up and down completely randomly.
Pair Corralation between Classic Value and Intech Managed
Assuming the 90 days horizon Classic Value is expected to generate 1.46 times less return on investment than Intech Managed. In addition to that, Classic Value is 1.33 times more volatile than Intech Managed Volatility. It trades about 0.07 of its total potential returns per unit of risk. Intech Managed Volatility is currently generating about 0.14 per unit of volatility. If you would invest 1,088 in Intech Managed Volatility on August 26, 2024 and sell it today you would earn a total of 151.00 from holding Intech Managed Volatility or generate 13.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Classic Value Fund vs. Intech Managed Volatility
Performance |
| Timeline |
| Classic Value |
| Intech Managed Volatility |
Classic Value and Intech Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Classic Value and Intech Managed
The main advantage of trading using opposite Classic Value and Intech Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Classic Value 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.| Classic Value vs. Regional Bank Fund | Classic Value vs. Regional Bank Fund | Classic Value vs. Multimanager Lifestyle Moderate | Classic Value vs. Multimanager Lifestyle Balanced |
| Intech Managed vs. Classic Value Fund | Intech Managed vs. Legg Mason Bw | Intech Managed vs. Strategic Income Opportunities | Intech Managed vs. Columbia Select Large |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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