Correlation Between Massmutual Select and PENSKE

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

By analyzing existing cross correlation between Massmutual Select Blue and PENSKE AUTOMOTIVE GROUP, you can compare the effects of market volatilities on Massmutual Select and PENSKE 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 PENSKE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Massmutual Select and PENSKE.

Diversification Opportunities for Massmutual Select and PENSKE

-0.55

Correlation Coefficient

Massmutual Select  PENSKE

Excellent diversification

The 3 months correlation between Massmutual and PENSKE is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding Massmutual Select Blue and PENSKE AUTOMOTIVE GROUP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PENSKE AUTOMOTIVE 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 Blue are associated (or correlated) with PENSKE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PENSKE AUTOMOTIVE has no effect on the direction of Massmutual Select i.e., Massmutual Select and PENSKE go up and down completely randomly.

Pair Corralation between Massmutual Select and PENSKE

Assuming the 90 days horizon Massmutual Select Blue is expected to generate 3.87 times more return on investment than PENSKE. However, Massmutual Select is 3.87 times more volatile than PENSKE AUTOMOTIVE GROUP. It trades about 0.12 of its potential returns per unit of risk. PENSKE AUTOMOTIVE GROUP is currently generating about -0.07 per unit of risk. If you would invest  2,218  in Massmutual Select Blue on September 24, 2024 and sell it today you would earn a total of  168.00  from holding Massmutual Select Blue or generate 7.57% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	96.88%
Values	Daily Returns

Massmutual Select Blue  vs.  PENSKE AUTOMOTIVE GROUP

Massmutual Select Blue

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Massmutual Select Blue are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Massmutual Select may actually be approaching a critical reversion point that can send shares even higher in January 2025.

PENSKE AUTOMOTIVE

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PENSKE AUTOMOTIVE GROUP has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, PENSKE is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Massmutual Select and PENSKE

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

The idea behind Massmutual Select Blue and PENSKE AUTOMOTIVE GROUP 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.