Correlation Between Monthly Rebalance and Nasdaq-100(r)
Can any of the company-specific risk be diversified away by investing in both Monthly Rebalance 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 Monthly Rebalance 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 Monthly Rebalance Nasdaq 100 and Nasdaq 100 2x Strategy, you can compare the effects of market volatilities on Monthly Rebalance 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 Monthly Rebalance with a short position of Nasdaq-100(r). Check out your portfolio center. Please also check ongoing floating volatility patterns of Monthly Rebalance and Nasdaq-100(r).
Diversification Opportunities for Monthly Rebalance and Nasdaq-100(r)
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Monthly and Nasdaq-100(r) is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Monthly Rebalance Nasdaq 100 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 Monthly Rebalance 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 Monthly Rebalance Nasdaq 100 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 Monthly Rebalance i.e., Monthly Rebalance and Nasdaq-100(r) go up and down completely randomly.
Pair Corralation between Monthly Rebalance and Nasdaq-100(r)
Assuming the 90 days horizon Monthly Rebalance is expected to generate 1.07 times less return on investment than Nasdaq-100(r). But when comparing it to its historical volatility, Monthly Rebalance Nasdaq 100 is 1.04 times less risky than Nasdaq-100(r). It trades about 0.12 of its potential returns per unit of risk. Nasdaq 100 2x Strategy is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 53,833 in Nasdaq 100 2x Strategy on August 24, 2024 and sell it today you would earn a total of 3,274 from holding Nasdaq 100 2x Strategy or generate 6.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Monthly Rebalance Nasdaq 100 vs. Nasdaq 100 2x Strategy
Performance |
| Timeline |
| Monthly Rebalance |
| Nasdaq 100 2x |
Monthly Rebalance and Nasdaq-100(r) Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Monthly Rebalance and Nasdaq-100(r)
The main advantage of trading using opposite Monthly Rebalance and Nasdaq-100(r) positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Monthly Rebalance 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.| Monthly Rebalance vs. Rationalpier 88 Convertible | Monthly Rebalance vs. Absolute Convertible Arbitrage | Monthly Rebalance vs. Lord Abbett Convertible | Monthly Rebalance vs. Calamos Dynamic Convertible |
| Nasdaq-100(r) vs. Nasdaq 100 2x Strategy | Nasdaq-100(r) vs. Nasdaq 100 2x Strategy | Nasdaq-100(r) vs. Ultra Nasdaq 100 Profunds | Nasdaq-100(r) vs. Ultranasdaq 100 Profund Ultranasdaq 100 |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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