Correlation Between Massmutual Select and Vanguard Small-cap
Can any of the company-specific risk be diversified away by investing in both Massmutual Select and Vanguard 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 Vanguard 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 Small and Vanguard Small Cap Value, you can compare the effects of market volatilities on Massmutual Select and Vanguard 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 Vanguard Small-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Massmutual Select and Vanguard Small-cap.
Diversification Opportunities for Massmutual Select and Vanguard Small-cap
0.97 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Massmutual and Vanguard is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Massmutual Select Small and Vanguard Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Small Cap 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 Small are associated (or correlated) with Vanguard 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 Vanguard Small Cap has no effect on the direction of Massmutual Select i.e., Massmutual Select and Vanguard Small-cap go up and down completely randomly.
Pair Corralation between Massmutual Select and Vanguard Small-cap
Assuming the 90 days horizon Massmutual Select is expected to generate 1.2 times less return on investment than Vanguard Small-cap. In addition to that, Massmutual Select is 1.18 times more volatile than Vanguard Small Cap Value. It trades about 0.14 of its total potential returns per unit of risk. Vanguard Small Cap Value is currently generating about 0.2 per unit of volatility. If you would invest 4,766 in Vanguard Small Cap Value on October 22, 2024 and sell it today you would earn a total of 140.00 from holding Vanguard Small Cap Value or generate 2.94% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Massmutual Select Small vs. Vanguard Small Cap Value
Performance |
| Timeline |
| Massmutual Select Small |
| Vanguard Small Cap |
Massmutual Select and Vanguard Small-cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Massmutual Select and Vanguard Small-cap
The main advantage of trading using opposite Massmutual Select and Vanguard Small-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Massmutual Select position performs unexpectedly, Vanguard 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 Vanguard Small-cap will offset losses from the drop in Vanguard Small-cap's long position.| Massmutual Select vs. Vanguard Small Cap Value | Massmutual Select vs. Ultrasmall Cap Profund Ultrasmall Cap | Massmutual Select vs. Ab Small Cap | Massmutual Select vs. Great West Loomis Sayles |
| Vanguard Small-cap vs. Aqr Sustainable Long Short | Vanguard Small-cap vs. Extended Market Index | Vanguard Small-cap vs. T Rowe Price | Vanguard Small-cap vs. Barings Emerging Markets |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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