Correlation Between Tax-managed and Nasdaq-100(r)
Can any of the company-specific risk be diversified away by investing in both Tax-managed 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 Tax-managed 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 Tax Managed Mid Small and Nasdaq 100 2x Strategy, you can compare the effects of market volatilities on Tax-managed 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 Tax-managed with a short position of Nasdaq-100(r). Check out your portfolio center. Please also check ongoing floating volatility patterns of Tax-managed and Nasdaq-100(r).
Diversification Opportunities for Tax-managed and Nasdaq-100(r)
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Tax-managed and Nasdaq-100(r) is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Tax Managed Mid Small 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 Tax-managed 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 Tax Managed Mid Small 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 Tax-managed i.e., Tax-managed and Nasdaq-100(r) go up and down completely randomly.
Pair Corralation between Tax-managed and Nasdaq-100(r)
Assuming the 90 days horizon Tax Managed Mid Small is expected to generate 0.63 times more return on investment than Nasdaq-100(r). However, Tax Managed Mid Small is 1.58 times less risky than Nasdaq-100(r). It trades about 0.22 of its potential returns per unit of risk. Nasdaq 100 2x Strategy is currently generating about 0.07 per unit of risk. If you would invest 4,263 in Tax Managed Mid Small on August 31, 2024 and sell it today you would earn a total of 298.00 from holding Tax Managed Mid Small or generate 6.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Tax Managed Mid Small vs. Nasdaq 100 2x Strategy
Performance |
| Timeline |
| Tax Managed Mid |
| Nasdaq 100 2x |
Tax-managed and Nasdaq-100(r) Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Tax-managed and Nasdaq-100(r)
The main advantage of trading using opposite Tax-managed and Nasdaq-100(r) positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tax-managed 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.| Tax-managed vs. Vanguard Small Cap Index | Tax-managed vs. Vanguard Small Cap Index | Tax-managed vs. Vanguard Small Cap Index | Tax-managed vs. Vanguard Small Cap Index |
| Nasdaq-100(r) vs. Fisher Small Cap | Nasdaq-100(r) vs. Ab Small Cap | Nasdaq-100(r) vs. The Hartford Small | Nasdaq-100(r) vs. Tax Managed Mid Small |
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 Directory module to find actively traded commodities issued by global exchanges.
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