Correlation Between Global Alpha and Massmutual Premier

Can any of the company-specific risk be diversified away by investing in both Global Alpha 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 Global Alpha and Massmutual Premier into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between The Global Alpha and Massmutual Premier Diversified, you can compare the effects of market volatilities on Global Alpha 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 Global Alpha with a short position of Massmutual Premier. Check out your portfolio center. Please also check ongoing floating volatility patterns of Global Alpha and Massmutual Premier.

Diversification Opportunities for Global Alpha and Massmutual Premier

-0.23

Correlation Coefficient

Global Alpha  Massmutual Premier

Very good diversification

The 3 months correlation between Global and Massmutual is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding The Global Alpha and Massmutual Premier Diversified in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Premier and Global Alpha 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 The Global Alpha 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 Global Alpha i.e., Global Alpha and Massmutual Premier go up and down completely randomly.

Pair Corralation between Global Alpha and Massmutual Premier

Assuming the 90 days horizon The Global Alpha is expected to generate 2.7 times more return on investment than Massmutual Premier. However, Global Alpha is 2.7 times more volatile than Massmutual Premier Diversified. It trades about 0.07 of its potential returns per unit of risk. Massmutual Premier Diversified is currently generating about 0.05 per unit of risk. If you would invest  1,448  in The Global Alpha on September 14, 2024 and sell it today you would earn a total of  432.00  from holding The Global Alpha or generate 29.83% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

The Global Alpha  vs.  Massmutual Premier Diversified

Global Alpha

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in The Global Alpha are ranked lower than 8 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward-looking signals, Global Alpha may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Massmutual Premier

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Massmutual Premier Diversified has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong essential indicators, Massmutual Premier is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Global Alpha and Massmutual Premier

The main advantage of trading using opposite Global Alpha and Massmutual Premier positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Global Alpha 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.

The idea behind The Global Alpha and Massmutual Premier Diversified 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.