Correlation Between GM and Intech Managed

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

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

Diversification Opportunities for GM and Intech Managed

0.73

Correlation Coefficient

GM  Intech Managed

Poor diversification

The 3 months correlation between GM and Intech is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding General Motors 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 GM 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 General Motors 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 GM i.e., GM and Intech Managed go up and down completely randomly.

Pair Corralation between GM and Intech Managed

Allowing for the 90-day total investment horizon General Motors is expected to under-perform the Intech Managed. In addition to that, GM is 2.38 times more volatile than Intech Managed Volatility. It trades about -0.21 of its total potential returns per unit of risk. Intech Managed Volatility is currently generating about -0.1 per unit of volatility. If you would invest  1,218  in Intech Managed Volatility on September 25, 2024 and sell it today you would lose (27.00) from holding Intech Managed Volatility or give up 2.22% of portfolio value over 90 days.

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

General Motors  vs.  Intech Managed Volatility

General Motors

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in General Motors are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of very weak primary indicators, GM displayed solid returns over the last few months and may actually be approaching a breakup point.

Intech Managed Volatility

Risk-Adjusted Performance

3 of 100

Insignificant

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

Pair Trading with GM and Intech Managed

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

The idea behind General Motors 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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.