Correlation Between Ab Value and Nasdaq-100(r)
Can any of the company-specific risk be diversified away by investing in both Ab Value and Nasdaq-100(r) 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 Ab Value and Nasdaq-100(r) into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ab Value Fund and Nasdaq 100 2x Strategy, you can compare the effects of market volatilities on Ab Value and Nasdaq-100(r) 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 Ab Value with a short position of Nasdaq-100(r). Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Value and Nasdaq-100(r).
Diversification Opportunities for Ab Value and Nasdaq-100(r)
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between ABVCX and Nasdaq-100(r) is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Ab Value Fund and Nasdaq 100 2x Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nasdaq 100 2x and Ab Value 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 Ab Value Fund are associated (or correlated) with Nasdaq-100(r). Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nasdaq 100 2x has no effect on the direction of Ab Value i.e., Ab Value and Nasdaq-100(r) go up and down completely randomly.
Pair Corralation between Ab Value and Nasdaq-100(r)
Assuming the 90 days horizon Ab Value is expected to generate 2.44 times less return on investment than Nasdaq-100(r). But when comparing it to its historical volatility, Ab Value Fund is 2.97 times less risky than Nasdaq-100(r). It trades about 0.1 of its potential returns per unit of risk. Nasdaq 100 2x Strategy is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 23,138 in Nasdaq 100 2x Strategy on August 31, 2024 and sell it today you would earn a total of 18,596 from holding Nasdaq 100 2x Strategy or generate 80.37% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 99.73% |
| Values | Daily Returns |
Ab Value Fund vs. Nasdaq 100 2x Strategy
Performance |
| Timeline |
| Ab Value Fund |
| Nasdaq 100 2x |
Ab Value and Nasdaq-100(r) Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ab Value and Nasdaq-100(r)
The main advantage of trading using opposite Ab Value and Nasdaq-100(r) positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Value position performs unexpectedly, Nasdaq-100(r) 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 Nasdaq-100(r) will offset losses from the drop in Nasdaq-100(r)'s long position.| Ab Value vs. Mesirow Financial Small | Ab Value vs. John Hancock Financial | Ab Value vs. Royce Global Financial | Ab Value vs. Goldman Sachs Financial |
| Nasdaq-100(r) vs. Fisher Small Cap | Nasdaq-100(r) vs. Ab Small Cap | Nasdaq-100(r) vs. The Hartford Small | Nasdaq-100(r) vs. Tax Managed Mid Small |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Other Complementary Tools
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Technical Analysis Check basic technical indicators and analysis based on most latest market data |