Correlation Between Tax-managed and Tiaa-cref Large-cap

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Can any of the company-specific risk be diversified away by investing in both Tax-managed and Tiaa-cref Large-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 Tax-managed and Tiaa-cref Large-cap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Tax Managed Large Cap and Tiaa Cref Large Cap Value, you can compare the effects of market volatilities on Tax-managed and Tiaa-cref Large-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 Tax-managed with a short position of Tiaa-cref Large-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tax-managed and Tiaa-cref Large-cap.

Diversification Opportunities for Tax-managed and Tiaa-cref Large-cap

Tax-managedTiaa-crefDiversified AwayTax-managedTiaa-crefDiversified Away100%
0.57
  Correlation Coefficient

Very weak diversification

The 3 months correlation between Tax-managed and Tiaa-cref is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Large Cap and Tiaa Cref Large Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tiaa-cref Large-cap and Tax-managed 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 Tax Managed Large Cap are associated (or correlated) with Tiaa-cref Large-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tiaa-cref Large-cap has no effect on the direction of Tax-managed i.e., Tax-managed and Tiaa-cref Large-cap go up and down completely randomly.

Pair Corralation between Tax-managed and Tiaa-cref Large-cap

Assuming the 90 days horizon Tax Managed Large Cap is expected to generate 1.01 times more return on investment than Tiaa-cref Large-cap. However, Tax-managed is 1.01 times more volatile than Tiaa Cref Large Cap Value. It trades about 0.1 of its potential returns per unit of risk. Tiaa Cref Large Cap Value is currently generating about 0.07 per unit of risk. If you would invest  6,034  in Tax Managed Large Cap on November 27, 2024 and sell it today you would earn a total of  2,562  from holding Tax Managed Large Cap or generate 42.46% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Tax Managed Large Cap  vs.  Tiaa Cref Large Cap Value

 Performance 
JavaScript chart by amCharts 3.21.15Dec2025Feb -6-4-202
JavaScript chart by amCharts 3.21.15RETSX TRCPX
       Timeline  
Tax Managed Large 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days Tax Managed Large Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Tax-managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb8484.58585.58686.58787.588
Tiaa-cref Large-cap 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days Tiaa Cref Large Cap Value has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Tiaa-cref Large-cap is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb2222.52323.524

Tax-managed and Tiaa-cref Large-cap Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-2.45-1.83-1.22-0.60.00.611.231.842.46 0.10.20.30.40.50.60.7
JavaScript chart by amCharts 3.21.15RETSX TRCPX
       Returns  

Pair Trading with Tax-managed and Tiaa-cref Large-cap

The main advantage of trading using opposite Tax-managed and Tiaa-cref Large-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tax-managed position performs unexpectedly, Tiaa-cref Large-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 Tiaa-cref Large-cap will offset losses from the drop in Tiaa-cref Large-cap's long position.
The idea behind Tax Managed Large Cap and Tiaa Cref Large Cap Value pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.

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