Correlation Between Russell 2000 and Putnam Convertible
Can any of the company-specific risk be diversified away by investing in both Russell 2000 and Putnam Convertible 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 Russell 2000 and Putnam Convertible into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Russell 2000 2x and Putnam Convertible Incm Gwth, you can compare the effects of market volatilities on Russell 2000 and Putnam Convertible 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 Russell 2000 with a short position of Putnam Convertible. Check out your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Putnam Convertible.
Diversification Opportunities for Russell 2000 and Putnam Convertible
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Russell and Putnam is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 2x and Putnam Convertible Incm Gwth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Putnam Convertible Incm and Russell 2000 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 Russell 2000 2x are associated (or correlated) with Putnam Convertible. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Putnam Convertible Incm has no effect on the direction of Russell 2000 i.e., Russell 2000 and Putnam Convertible go up and down completely randomly.
Pair Corralation between Russell 2000 and Putnam Convertible
Assuming the 90 days horizon Russell 2000 2x is expected to under-perform the Putnam Convertible. In addition to that, Russell 2000 is 3.23 times more volatile than Putnam Convertible Incm Gwth. It trades about -0.29 of its total potential returns per unit of risk. Putnam Convertible Incm Gwth is currently generating about -0.24 per unit of volatility. If you would invest 2,590 in Putnam Convertible Incm Gwth on December 1, 2024 and sell it today you would lose (86.00) from holding Putnam Convertible Incm Gwth or give up 3.32% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Russell 2000 2x vs. Putnam Convertible Incm Gwth
Performance |
| Timeline |
| Russell 2000 2x |
| Putnam Convertible Incm |
Russell 2000 and Putnam Convertible Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Russell 2000 and Putnam Convertible
The main advantage of trading using opposite Russell 2000 and Putnam Convertible positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Russell 2000 position performs unexpectedly, Putnam Convertible 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 Putnam Convertible will offset losses from the drop in Putnam Convertible's long position.| Russell 2000 vs. Amg Managers Centersquare | Russell 2000 vs. Prudential Real Estate | Russell 2000 vs. Voya Real Estate | Russell 2000 vs. Global Real Estate |
| Putnam Convertible vs. Legg Mason Western | Putnam Convertible vs. Goldman Sachs Emerging | Putnam Convertible vs. Transamerica Emerging Markets | Putnam Convertible vs. Massmutual Premier Diversified |
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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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