Correlation Between Massmutual Select and Aqr Diversified
Can any of the company-specific risk be diversified away by investing in both Massmutual Select and Aqr Diversified 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 Massmutual Select and Aqr Diversified into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Massmutual Select Diversified and Aqr Diversified Arbitrage, you can compare the effects of market volatilities on Massmutual Select and Aqr Diversified 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 Massmutual Select with a short position of Aqr Diversified. Check out your portfolio center. Please also check ongoing floating volatility patterns of Massmutual Select and Aqr Diversified.
Diversification Opportunities for Massmutual Select and Aqr Diversified
-0.08 | Correlation Coefficient |
Good diversification
The 3 months correlation between Massmutual and Aqr is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding Massmutual Select Diversified and Aqr Diversified Arbitrage in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aqr Diversified Arbitrage and Massmutual Select 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 Massmutual Select Diversified are associated (or correlated) with Aqr Diversified. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aqr Diversified Arbitrage has no effect on the direction of Massmutual Select i.e., Massmutual Select and Aqr Diversified go up and down completely randomly.
Pair Corralation between Massmutual Select and Aqr Diversified
Assuming the 90 days horizon Massmutual Select Diversified is expected to generate 7.84 times more return on investment than Aqr Diversified. However, Massmutual Select is 7.84 times more volatile than Aqr Diversified Arbitrage. It trades about 0.27 of its potential returns per unit of risk. Aqr Diversified Arbitrage is currently generating about 0.53 per unit of risk. If you would invest 955.00 in Massmutual Select Diversified on October 23, 2024 and sell it today you would earn a total of 34.00 from holding Massmutual Select Diversified or generate 3.56% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Massmutual Select Diversified vs. Aqr Diversified Arbitrage
Performance |
Timeline |
Massmutual Select |
Aqr Diversified Arbitrage |
Massmutual Select and Aqr Diversified Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Massmutual Select and Aqr Diversified
The main advantage of trading using opposite Massmutual Select and Aqr Diversified positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Massmutual Select position performs unexpectedly, Aqr Diversified 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 Aqr Diversified will offset losses from the drop in Aqr Diversified's long position.Massmutual Select vs. Multisector Bond Sma | Massmutual Select vs. Dws Government Money | Massmutual Select vs. Nuveen Strategic Municipal | Massmutual Select vs. Gmo High Yield |
Aqr Diversified vs. Advent Claymore Convertible | Aqr Diversified vs. Allianzgi Convertible Income | Aqr Diversified vs. Absolute Convertible Arbitrage | Aqr Diversified vs. Lord Abbett Convertible |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
Other Complementary Tools
Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
Commodity Channel Use Commodity Channel Index to analyze current equity momentum | |
Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
Fundamental Analysis View fundamental data based on most recent published financial statements | |
Stock Tickers Use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites |