Correlation Between Large Cap and Intech Us

Can any of the company-specific risk be diversified away by investing in both Large Cap and Intech Us 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 Large Cap and Intech Us into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Large Cap E and Intech Managed Volatility, you can compare the effects of market volatilities on Large Cap and Intech Us 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 Large Cap with a short position of Intech Us. Check out your portfolio center. Please also check ongoing floating volatility patterns of Large Cap and Intech Us.

Diversification Opportunities for Large Cap and Intech Us

0.96

Correlation Coefficient

Large Cap  Intech Us

Almost no diversification

The 3 months correlation between Large and Intech is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Large Cap E and Intech Managed Volatility in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Intech Managed Volatility and Large Cap 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 Large Cap E are associated (or correlated) with Intech Us. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Intech Managed Volatility has no effect on the direction of Large Cap i.e., Large Cap and Intech Us go up and down completely randomly.

Pair Corralation between Large Cap and Intech Us

Assuming the 90 days horizon Large Cap is expected to generate 1.04 times less return on investment than Intech Us. In addition to that, Large Cap is 1.09 times more volatile than Intech Managed Volatility. It trades about 0.18 of its total potential returns per unit of risk. Intech Managed Volatility is currently generating about 0.2 per unit of volatility. If you would invest  1,126  in Intech Managed Volatility on September 5, 2024 and sell it today you would earn a total of  100.00  from holding Intech Managed Volatility or generate 8.88% return on investment over 90 days.

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

Large Cap E  vs.  Intech Managed Volatility

Large Cap E

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Large Cap E are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Large Cap may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Intech Managed Volatility

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Intech Managed Volatility are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Intech Us may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Large Cap and Intech Us

The main advantage of trading using opposite Large Cap and Intech Us positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Large Cap position performs unexpectedly, Intech Us 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 Intech Us will offset losses from the drop in Intech Us' long position.

The idea behind Large Cap E and Intech Managed Volatility 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.