Correlation Between Fmasx and Tiaa-cref Small-cap

Can any of the company-specific risk be diversified away by investing in both Fmasx and Tiaa-cref Small-cap 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 Fmasx and Tiaa-cref Small-cap into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Fmasx and Tiaa Cref Small Cap Equity, you can compare the effects of market volatilities on Fmasx and Tiaa-cref Small-cap 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 Fmasx with a short position of Tiaa-cref Small-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fmasx and Tiaa-cref Small-cap.

Diversification Opportunities for Fmasx and Tiaa-cref Small-cap

0.62

Correlation Coefficient

Fmasx  Tiaa-cref Small-cap

Poor diversification

The 3 months correlation between Fmasx and Tiaa-cref is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Fmasx and Tiaa Cref Small Cap Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tiaa-cref Small-cap and Fmasx 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 Fmasx are associated (or correlated) with Tiaa-cref Small-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tiaa-cref Small-cap has no effect on the direction of Fmasx i.e., Fmasx and Tiaa-cref Small-cap go up and down completely randomly.

Pair Corralation between Fmasx and Tiaa-cref Small-cap

Assuming the 90 days horizon Fmasx is expected to generate 1.02 times more return on investment than Tiaa-cref Small-cap. However, Fmasx is 1.02 times more volatile than Tiaa Cref Small Cap Equity. It trades about -0.07 of its potential returns per unit of risk. Tiaa Cref Small Cap Equity is currently generating about -0.1 per unit of risk. If you would invest  1,481  in Fmasx on December 19, 2024 and sell it today you would lose (77.00) from holding Fmasx or give up 5.2% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.33%
Values	Daily Returns

Fmasx  vs.  Tiaa Cref Small Cap Equity

Fmasx

Risk-Adjusted Performance

Very Weak

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

Tiaa-cref Small-cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Tiaa Cref Small Cap Equity has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's technical and fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Fmasx and Tiaa-cref Small-cap

The main advantage of trading using opposite Fmasx and Tiaa-cref Small-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fmasx position performs unexpectedly, Tiaa-cref Small-cap 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 Tiaa-cref Small-cap will offset losses from the drop in Tiaa-cref Small-cap's long position.

The idea behind Fmasx and Tiaa Cref Small Cap Equity 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.