Correlation Between Massmutual Select and Small Cap
Can any of the company-specific risk be diversified away by investing in both Massmutual Select and Small Cap 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 Massmutual Select and Small Cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Massmutual Select Blue and Small Cap Value, you can compare the effects of market volatilities on Massmutual Select and Small Cap 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 Massmutual Select with a short position of Small Cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Massmutual Select and Small Cap.
Diversification Opportunities for Massmutual Select and Small Cap
0.25 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Massmutual and Small is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Massmutual Select Blue and Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Small Cap Value and Massmutual Select 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 Massmutual Select Blue are associated (or correlated) with Small Cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Small Cap Value has no effect on the direction of Massmutual Select i.e., Massmutual Select and Small Cap go up and down completely randomly.
Pair Corralation between Massmutual Select and Small Cap
Assuming the 90 days horizon Massmutual Select is expected to generate 1.32 times less return on investment than Small Cap. But when comparing it to its historical volatility, Massmutual Select Blue is 1.62 times less risky than Small Cap. It trades about 0.19 of its potential returns per unit of risk. Small Cap Value is currently generating about 0.16 of returns per unit of risk over similar time horizon. 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 |
Massmutual Select Blue vs. Small Cap Value
Performance |
| Timeline |
| Massmutual Select Blue |
| Small Cap Value |
Massmutual Select and Small Cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Massmutual Select and Small Cap
The main advantage of trading using opposite Massmutual Select and Small Cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Massmutual Select position performs unexpectedly, Small Cap 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 Small Cap will offset losses from the drop in Small Cap's long position.| Massmutual Select vs. American Mutual Fund | Massmutual Select vs. Americafirst Large Cap | Massmutual Select vs. Qs Large Cap | Massmutual Select vs. Qs Large Cap |
| 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 |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
Other Complementary Tools
| Content Syndication Quickly integrate customizable finance content to your own investment portal | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Odds Of Bankruptcy Get analysis of equity chance of financial distress in the next 2 years | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation |