Correlation Between Fabxx and Arrow Managed
Can any of the company-specific risk be diversified away by investing in both Fabxx and Arrow 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 Fabxx and Arrow Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Fabxx and Arrow Managed Futures, you can compare the effects of market volatilities on Fabxx and Arrow 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 Fabxx with a short position of Arrow Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fabxx and Arrow Managed.
Diversification Opportunities for Fabxx and Arrow Managed
0.3 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Fabxx and Arrow is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Fabxx and Arrow Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arrow Managed Futures and Fabxx 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 Fabxx are associated (or correlated) with Arrow Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arrow Managed Futures has no effect on the direction of Fabxx i.e., Fabxx and Arrow Managed go up and down completely randomly.
Pair Corralation between Fabxx and Arrow Managed
Assuming the 90 days horizon Fabxx is expected to under-perform the Arrow Managed. In addition to that, Fabxx is 3.4 times more volatile than Arrow Managed Futures. It trades about -0.02 of its total potential returns per unit of risk. Arrow Managed Futures is currently generating about 0.01 per unit of volatility. If you would invest 552.00 in Arrow Managed Futures on August 29, 2024 and sell it today you would earn a total of 11.00 from holding Arrow Managed Futures or generate 1.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 61.49% |
| Values | Daily Returns |
Fabxx vs. Arrow Managed Futures
Performance |
| Timeline |
| Fabxx |
| Arrow Managed Futures |
Fabxx and Arrow Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Fabxx and Arrow Managed
The main advantage of trading using opposite Fabxx and Arrow Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Fabxx position performs unexpectedly, Arrow 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 Arrow Managed will offset losses from the drop in Arrow Managed's long position.| Fabxx vs. Vanguard Total Stock | Fabxx vs. Vanguard 500 Index | Fabxx vs. Vanguard Total Stock | Fabxx vs. Vanguard Total Stock |
| Arrow Managed vs. Pimco Trends Managed | Arrow Managed vs. Pimco Trends Managed | Arrow Managed vs. HUMANA INC | Arrow Managed vs. Aquagold International |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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