Correlation Between Nasdaq 100 and 30 Day
Can any of the company-specific risk be diversified away by investing in both Nasdaq 100 and 30 Day 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 Nasdaq 100 and 30 Day into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nasdaq 100 and 30 Day Fed, you can compare the effects of market volatilities on Nasdaq 100 and 30 Day 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 Nasdaq 100 with a short position of 30 Day. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq 100 and 30 Day.
Diversification Opportunities for Nasdaq 100 and 30 Day
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Nasdaq and ZQUSD is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 and 30 Day Fed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on 30 Day Fed and Nasdaq 100 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 Nasdaq 100 are associated (or correlated) with 30 Day. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of 30 Day Fed has no effect on the direction of Nasdaq 100 i.e., Nasdaq 100 and 30 Day go up and down completely randomly.
Pair Corralation between Nasdaq 100 and 30 Day
Assuming the 90 days horizon Nasdaq 100 is expected to generate 17.89 times more return on investment than 30 Day. However, Nasdaq 100 is 17.89 times more volatile than 30 Day Fed. It trades about 0.08 of its potential returns per unit of risk. 30 Day Fed is currently generating about 0.06 per unit of risk. If you would invest 1,743,675 in Nasdaq 100 on August 29, 2024 and sell it today you would earn a total of 355,475 from holding Nasdaq 100 or generate 20.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nasdaq 100 vs. 30 Day Fed
Performance |
| Timeline |
| Nasdaq 100 |
| 30 Day Fed |
Nasdaq 100 and 30 Day Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nasdaq 100 and 30 Day
The main advantage of trading using opposite Nasdaq 100 and 30 Day positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nasdaq 100 position performs unexpectedly, 30 Day 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 30 Day will offset losses from the drop in 30 Day's long position.| Nasdaq 100 vs. Corn Futures | Nasdaq 100 vs. Five Year Treasury Note | Nasdaq 100 vs. Live Cattle Futures | Nasdaq 100 vs. Lean Hogs Futures |
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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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