Correlation Between Western Asset and Massmutual Premier
Can any of the company-specific risk be diversified away by investing in both Western Asset and Massmutual Premier 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 Western Asset and Massmutual Premier into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Western Asset California and Massmutual Premier Diversified, you can compare the effects of market volatilities on Western Asset and Massmutual Premier 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 Western Asset with a short position of Massmutual Premier. Check out your portfolio center. Please also check ongoing floating volatility patterns of Western Asset and Massmutual Premier.
Diversification Opportunities for Western Asset and Massmutual Premier
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Western and Massmutual is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset California and Massmutual Premier Diversified in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Premier and Western Asset 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 Western Asset California are associated (or correlated) with Massmutual Premier. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Massmutual Premier has no effect on the direction of Western Asset i.e., Western Asset and Massmutual Premier go up and down completely randomly.
Pair Corralation between Western Asset and Massmutual Premier
Assuming the 90 days horizon Western Asset is expected to generate 1.02 times less return on investment than Massmutual Premier. But when comparing it to its historical volatility, Western Asset California is 1.72 times less risky than Massmutual Premier. It trades about 0.06 of its potential returns per unit of risk. Massmutual Premier Diversified is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 772.00 in Massmutual Premier Diversified on September 4, 2024 and sell it today you would earn a total of 54.00 from holding Massmutual Premier Diversified or generate 6.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Western Asset California vs. Massmutual Premier Diversified
Performance |
| Timeline |
| Western Asset California |
| Massmutual Premier |
Western Asset and Massmutual Premier Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Western Asset and Massmutual Premier
The main advantage of trading using opposite Western Asset and Massmutual Premier positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Western Asset position performs unexpectedly, Massmutual Premier 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 Massmutual Premier will offset losses from the drop in Massmutual Premier's long position.| Western Asset vs. Clearbridge Aggressive Growth | Western Asset vs. Clearbridge Small Cap | Western Asset vs. Qs International Equity | Western Asset vs. Clearbridge Appreciation Fund |
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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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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