Correlation Between Small Cap and Massmutual Select
Can any of the company-specific risk be diversified away by investing in both Small Cap 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 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 and Massmutual Select Blue, you can compare the effects of market volatilities on Small Cap 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 with a short position of Massmutual Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Cap and Massmutual Select.
Diversification Opportunities for Small Cap and Massmutual Select
0.25 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Small and Massmutual is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Value and Massmutual Select Blue in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Select Blue and 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 Small Cap Value 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 Blue has no effect on the direction of Small Cap i.e., Small Cap and Massmutual Select go up and down completely randomly.
Pair Corralation between Small Cap and Massmutual Select
Assuming the 90 days horizon Small Cap Value is expected to generate 1.62 times more return on investment than Massmutual Select. However, Small Cap is 1.62 times more volatile than Massmutual Select Blue. It trades about 0.16 of its potential returns per unit of risk. Massmutual Select Blue is currently generating about 0.19 per unit of risk. If you would invest 1,847 in Small Cap Value on August 29, 2024 and sell it today you would earn a total of 111.00 from holding Small Cap Value or generate 6.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Small Cap Value vs. Massmutual Select Blue
Performance |
| Timeline |
| Small Cap Value |
| Massmutual Select Blue |
Small Cap and Massmutual Select Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small Cap and Massmutual Select
The main advantage of trading using opposite Small Cap and Massmutual Select positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small Cap 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 vs. Ultra Short Fixed Income | Small Cap vs. Dodge International Stock | Small Cap vs. Small Cap Equity | Small Cap vs. Dreyfusstandish Global Fixed |
| Massmutual Select vs. American Mutual Fund | Massmutual Select vs. Americafirst Large Cap | Massmutual Select vs. Qs Large Cap | Massmutual Select vs. Qs Large Cap |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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