Correlation Between Chestnut Street and Massmutual Premier

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

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

Diversification Opportunities for Chestnut Street and Massmutual Premier

0.47

Correlation Coefficient

Chestnut Street  Massmutual Premier

Very weak diversification

The 3 months correlation between Chestnut and Massmutual is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Chestnut Street Exchange and Massmutual Premier E in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Massmutual Premier and Chestnut Street 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 Chestnut Street Exchange 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 Chestnut Street i.e., Chestnut Street and Massmutual Premier go up and down completely randomly.

Pair Corralation between Chestnut Street and Massmutual Premier

Assuming the 90 days horizon Chestnut Street Exchange is expected to generate 2.3 times more return on investment than Massmutual Premier. However, Chestnut Street is 2.3 times more volatile than Massmutual Premier E. It trades about 0.02 of its potential returns per unit of risk. Massmutual Premier E is currently generating about -0.09 per unit of risk. If you would invest  111,535  in Chestnut Street Exchange on October 7, 2024 and sell it today you would earn a total of  1,048  from holding Chestnut Street Exchange or generate 0.94% return on investment over 90 days.

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

Chestnut Street Exchange  vs.  Massmutual Premier E

Chestnut Street Exchange

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Chestnut Street Exchange are ranked lower than 1 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Chestnut Street is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Massmutual Premier

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Massmutual Premier E has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental drivers, 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 Chestnut Street and Massmutual Premier

The main advantage of trading using opposite Chestnut Street and Massmutual Premier positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Chestnut Street 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 Chestnut Street Exchange and Massmutual Premier E 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 Global Correlations module to find global opportunities by holding instruments from different markets.