Correlation Between Ab Small and Massmutual Select
Can any of the company-specific risk be diversified away by investing in both Ab Small and Massmutual Select 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 Ab Small and Massmutual Select into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ab Small Cap and Massmutual Select Mid Cap, you can compare the effects of market volatilities on Ab Small and Massmutual Select 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 Ab Small with a short position of Massmutual Select. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Small and Massmutual Select.
Diversification Opportunities for Ab Small and Massmutual Select
0.38 | Correlation Coefficient |
Weak diversification
The 3 months correlation between SCYVX and Massmutual is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding Ab Small Cap and Massmutual Select Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Select Mid and Ab Small 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 Ab Small Cap are associated (or correlated) with Massmutual Select. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Massmutual Select Mid has no effect on the direction of Ab Small i.e., Ab Small and Massmutual Select go up and down completely randomly.
Pair Corralation between Ab Small and Massmutual Select
Assuming the 90 days horizon Ab Small Cap is expected to generate 1.26 times more return on investment than Massmutual Select. However, Ab Small is 1.26 times more volatile than Massmutual Select Mid Cap. It trades about 0.0 of its potential returns per unit of risk. Massmutual Select Mid Cap is currently generating about -0.01 per unit of risk. If you would invest 1,365 in Ab Small Cap on December 11, 2024 and sell it today you would lose (24.00) from holding Ab Small Cap or give up 1.76% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.63% |
| Values | Daily Returns |
Ab Small Cap vs. Massmutual Select Mid Cap
Performance |
| Timeline |
| Ab Small Cap |
| Massmutual Select Mid |
Ab Small and Massmutual Select Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ab Small and Massmutual Select
The main advantage of trading using opposite Ab Small and Massmutual Select positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Small position performs unexpectedly, Massmutual Select 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 Select will offset losses from the drop in Massmutual Select's long position.| Ab Small vs. Aqr Diversified Arbitrage | ||
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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 Anywhere module to track or share privately all of your investments from the convenience of any device.
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