Correlation Between NYSE Composite and Ultra Nasdaq-100
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Ultra Nasdaq-100 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 NYSE Composite and Ultra Nasdaq-100 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Ultra Nasdaq 100 Profunds, you can compare the effects of market volatilities on NYSE Composite and Ultra Nasdaq-100 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 NYSE Composite with a short position of Ultra Nasdaq-100. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Ultra Nasdaq-100.
Diversification Opportunities for NYSE Composite and Ultra Nasdaq-100
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between NYSE and Ultra is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Ultra Nasdaq 100 Profunds in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultra Nasdaq 100 and NYSE Composite 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 NYSE Composite are associated (or correlated) with Ultra Nasdaq-100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultra Nasdaq 100 has no effect on the direction of NYSE Composite i.e., NYSE Composite and Ultra Nasdaq-100 go up and down completely randomly.
Pair Corralation between NYSE Composite and Ultra Nasdaq-100
Assuming the 90 days trading horizon NYSE Composite is expected to generate 2.24 times less return on investment than Ultra Nasdaq-100. But when comparing it to its historical volatility, NYSE Composite is 3.36 times less risky than Ultra Nasdaq-100. It trades about 0.13 of its potential returns per unit of risk. Ultra Nasdaq 100 Profunds is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 7,348 in Ultra Nasdaq 100 Profunds on August 27, 2024 and sell it today you would earn a total of 3,923 from holding Ultra Nasdaq 100 Profunds or generate 53.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
NYSE Composite vs. Ultra Nasdaq 100 Profunds
Performance |
| Timeline |
NYSE Composite and Ultra Nasdaq-100 Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Ultra Nasdaq 100 Profunds
Pair trading matchups for Ultra Nasdaq-100
Pair Trading with NYSE Composite and Ultra Nasdaq-100
The main advantage of trading using opposite NYSE Composite and Ultra Nasdaq-100 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Ultra Nasdaq-100 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 Ultra Nasdaq-100 will offset losses from the drop in Ultra Nasdaq-100's long position.| NYSE Composite vs. Hooker Furniture | NYSE Composite vs. Hudson Pacific Properties | NYSE Composite vs. Canlan Ice Sports | NYSE Composite vs. Boston Properties |
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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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