Correlation Between Classic Value and Intech Us

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

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

Diversification Opportunities for Classic Value and Intech Us

0.68

Correlation Coefficient

Classic Value  Intech Us

Poor diversification

The 3 months correlation between CLASSIC and Intech is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Classic Value Fund 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 Classic Value 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 Classic Value Fund 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 Classic Value i.e., Classic Value and Intech Us go up and down completely randomly.

Pair Corralation between Classic Value and Intech Us

Assuming the 90 days horizon Classic Value Fund is expected to generate 0.98 times more return on investment than Intech Us. However, Classic Value Fund is 1.02 times less risky than Intech Us. It trades about 0.04 of its potential returns per unit of risk. Intech Managed Volatility is currently generating about -0.09 per unit of risk. If you would invest  2,351  in Classic Value Fund on December 30, 2024 and sell it today you would earn a total of  44.00  from holding Classic Value Fund or generate 1.87% return on investment over 90 days.

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

Classic Value Fund  vs.  Intech Managed Volatility

Classic Value

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Classic Value Fund are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Classic Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Intech Managed Volatility

Risk-Adjusted Performance

Very Weak

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

Pair Trading with Classic Value and Intech Us

The main advantage of trading using opposite Classic Value and Intech Us positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Classic Value 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 Classic Value Fund 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.