Correlation Between Nasdaq 100 and The Arbitrage
Can any of the company-specific risk be diversified away by investing in both Nasdaq 100 and The Arbitrage 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 The Arbitrage into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nasdaq 100 2x Strategy and The Arbitrage Fund, you can compare the effects of market volatilities on Nasdaq 100 and The Arbitrage 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 The Arbitrage. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq 100 and The Arbitrage.
Diversification Opportunities for Nasdaq 100 and The Arbitrage
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Nasdaq and The is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 2x Strategy and The Arbitrage Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on The Arbitrage 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 2x Strategy are associated (or correlated) with The Arbitrage. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of The Arbitrage has no effect on the direction of Nasdaq 100 i.e., Nasdaq 100 and The Arbitrage go up and down completely randomly.
Pair Corralation between Nasdaq 100 and The Arbitrage
Assuming the 90 days horizon Nasdaq 100 2x Strategy is expected to generate 8.4 times more return on investment than The Arbitrage. However, Nasdaq 100 is 8.4 times more volatile than The Arbitrage Fund. It trades about 0.09 of its potential returns per unit of risk. The Arbitrage Fund is currently generating about 0.07 per unit of risk. If you would invest 27,642 in Nasdaq 100 2x Strategy on September 4, 2024 and sell it today you would earn a total of 15,006 from holding Nasdaq 100 2x Strategy or generate 54.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.6% |
| Values | Daily Returns |
Nasdaq 100 2x Strategy vs. The Arbitrage Fund
Performance |
| Timeline |
| Nasdaq 100 2x |
| The Arbitrage |
Nasdaq 100 and The Arbitrage Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nasdaq 100 and The Arbitrage
The main advantage of trading using opposite Nasdaq 100 and The Arbitrage positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nasdaq 100 position performs unexpectedly, The Arbitrage 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 The Arbitrage will offset losses from the drop in The Arbitrage's long position.| Nasdaq 100 vs. L Abbett Growth | Nasdaq 100 vs. Pace Smallmedium Growth | Nasdaq 100 vs. William Blair Growth | Nasdaq 100 vs. Artisan Small Cap |
| The Arbitrage vs. Goldman Sachs High | The Arbitrage vs. Ab Global Risk | The Arbitrage vs. T Rowe Price | The Arbitrage vs. Morningstar Aggressive Growth |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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