Correlation Between The Arbitrage and Arbitrage Fund
Can any of the company-specific risk be diversified away by investing in both The Arbitrage and Arbitrage Fund 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 The Arbitrage and Arbitrage Fund into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Arbitrage Event Driven and The Arbitrage Fund, you can compare the effects of market volatilities on The Arbitrage and Arbitrage Fund 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 The Arbitrage with a short position of Arbitrage Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of The Arbitrage and Arbitrage Fund.
Diversification Opportunities for The Arbitrage and Arbitrage Fund
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between The and Arbitrage is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding The Arbitrage Event Driven and The Arbitrage Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arbitrage Fund and The Arbitrage 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 The Arbitrage Event Driven are associated (or correlated) with Arbitrage Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arbitrage Fund has no effect on the direction of The Arbitrage i.e., The Arbitrage and Arbitrage Fund go up and down completely randomly.
Pair Corralation between The Arbitrage and Arbitrage Fund
Assuming the 90 days horizon The Arbitrage is expected to generate 1.26 times less return on investment than Arbitrage Fund. But when comparing it to its historical volatility, The Arbitrage Event Driven is 1.02 times less risky than Arbitrage Fund. It trades about 0.18 of its potential returns per unit of risk. The Arbitrage Fund is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 1,195 in The Arbitrage Fund on November 19, 2024 and sell it today you would earn a total of 10.00 from holding The Arbitrage Fund or generate 0.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Arbitrage Event Driven vs. The Arbitrage Fund
Performance |
| Timeline |
| Arbitrage Event |
| Arbitrage Fund |
The Arbitrage and Arbitrage Fund Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with The Arbitrage and Arbitrage Fund
The main advantage of trading using opposite The Arbitrage and Arbitrage Fund positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if The Arbitrage position performs unexpectedly, Arbitrage Fund 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 Arbitrage Fund will offset losses from the drop in Arbitrage Fund's long position.| The Arbitrage vs. Commodities Strategy Fund | The Arbitrage vs. Wasatch Frontier Emerging | The Arbitrage vs. Artisan Developing World | The Arbitrage vs. Delaware Emerging Markets |
| Arbitrage Fund vs. Guidemark Large Cap | Arbitrage Fund vs. Alternative Asset Allocation | Arbitrage Fund vs. Transamerica Asset Allocation | Arbitrage Fund vs. Calvert Moderate Allocation |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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