Correlation Between Legg Mason and Intech Managed
Can any of the company-specific risk be diversified away by investing in both Legg Mason and Intech Managed 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 Legg Mason and Intech Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Legg Mason Bw and Intech Managed Volatility, you can compare the effects of market volatilities on Legg Mason and Intech Managed 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 Legg Mason with a short position of Intech Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Legg Mason and Intech Managed.
Diversification Opportunities for Legg Mason and Intech Managed
-0.45 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Legg and Intech is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding Legg Mason Bw 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 Legg Mason 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 Legg Mason Bw are associated (or correlated) with Intech Managed. 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 Legg Mason i.e., Legg Mason and Intech Managed go up and down completely randomly.
Pair Corralation between Legg Mason and Intech Managed
Assuming the 90 days horizon Legg Mason is expected to generate 4.08 times less return on investment than Intech Managed. But when comparing it to its historical volatility, Legg Mason Bw is 1.56 times less risky than Intech Managed. It trades about 0.05 of its potential returns per unit of risk. Intech Managed Volatility is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 935.00 in Intech Managed Volatility on September 26, 2024 and sell it today you would earn a total of 285.00 from holding Intech Managed Volatility or generate 30.48% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Very Weak |
Accuracy | 99.68% |
Values | Daily Returns |
Legg Mason Bw vs. Intech Managed Volatility
Performance |
Timeline |
Legg Mason Bw |
Intech Managed Volatility |
Legg Mason and Intech Managed Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Legg Mason and Intech Managed
The main advantage of trading using opposite Legg Mason and Intech Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Legg Mason position performs unexpectedly, Intech Managed 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 Managed will offset losses from the drop in Intech Managed's long position.Legg Mason vs. Franklin Mutual Beacon | Legg Mason vs. Templeton Developing Markets | Legg Mason vs. Franklin Mutual Global | Legg Mason vs. Franklin Mutual Global |
Intech Managed vs. Classic Value Fund | Intech Managed vs. Legg Mason Bw | Intech Managed vs. Strategic Income Opportunities | Intech Managed vs. Us Global Leaders |
Check out your portfolio center.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 Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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