Correlation Between Massmutual Select and Omni Small-cap

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

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

Diversification Opportunities for Massmutual Select and Omni Small-cap

0.94

Correlation Coefficient

Massmutual Select  Omni Small-cap

Almost no diversification

The 3 months correlation between Massmutual and Omni is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Massmutual Select Small and Omni Small Cap Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Omni Small Cap 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 Small are associated (or correlated) with Omni 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 Omni Small Cap has no effect on the direction of Massmutual Select i.e., Massmutual Select and Omni Small-cap go up and down completely randomly.

Pair Corralation between Massmutual Select and Omni Small-cap

Assuming the 90 days horizon Massmutual Select Small is expected to generate 0.88 times more return on investment than Omni Small-cap. However, Massmutual Select Small is 1.14 times less risky than Omni Small-cap. It trades about 0.09 of its potential returns per unit of risk. Omni Small Cap Value is currently generating about 0.08 per unit of risk. If you would invest  829.00  in Massmutual Select Small on July 19, 2024 and sell it today you would earn a total of  107.00  from holding Massmutual Select Small or generate 12.91% return on investment over 90 days.

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

Massmutual Select Small  vs.  Omni Small Cap Value

Massmutual Select Small

Risk-Adjusted Performance

5 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Massmutual Select Small are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Massmutual Select is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Omni Small Cap

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Omni Small Cap Value are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Omni Small-cap is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Massmutual Select and Omni Small-cap

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

The idea behind Massmutual Select Small and Omni Small Cap Value 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.

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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.