Correlation Between Large Cap and Parametric International
Can any of the company-specific risk be diversified away by investing in both Large Cap and Parametric International 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 Parametric International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Large Cap Growth Profund and Parametric International Equity, you can compare the effects of market volatilities on Large Cap and Parametric International 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 Parametric International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Large Cap and Parametric International.
Diversification Opportunities for Large Cap and Parametric International
-0.73 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Large and Parametric is -0.73. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap Growth Profund and Parametric International Equit in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Parametric International 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 Profund are associated (or correlated) with Parametric International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Parametric International has no effect on the direction of Large Cap i.e., Large Cap and Parametric International go up and down completely randomly.
Pair Corralation between Large Cap and Parametric International
Assuming the 90 days horizon Large Cap Growth Profund is expected to generate 1.76 times more return on investment than Parametric International. However, Large Cap is 1.76 times more volatile than Parametric International Equity. It trades about 0.21 of its potential returns per unit of risk. Parametric International Equity is currently generating about 0.17 per unit of risk. If you would invest 4,505 in Large Cap Growth Profund on September 15, 2024 and sell it today you would earn a total of 164.00 from holding Large Cap Growth Profund or generate 3.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Large Cap Growth Profund vs. Parametric International Equit
Performance |
| Timeline |
| Large Cap Growth |
| Parametric International |
Large Cap and Parametric International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Large Cap and Parametric International
The main advantage of trading using opposite Large Cap and Parametric International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Large Cap position performs unexpectedly, Parametric International 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 Parametric International will offset losses from the drop in Parametric International's long position.| Large Cap vs. Short Real Estate | Large Cap vs. Ultrashort Mid Cap Profund | Large Cap vs. Ultrashort Mid Cap Profund | Large Cap vs. Technology Ultrasector Profund |
| Parametric International vs. Eaton Vance Msschsts | Parametric International vs. Eaton Vance Municipal | Parametric International vs. Eaton Vance Municipal | Parametric International vs. Eaton Vance Municipal |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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