Correlation Between Nasdaq-100(r) and Lsv Value
Can any of the company-specific risk be diversified away by investing in both Nasdaq-100(r) and Lsv Value 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(r) and Lsv Value 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 Lsv Value Equity, you can compare the effects of market volatilities on Nasdaq-100(r) and Lsv Value 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(r) with a short position of Lsv Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq-100(r) and Lsv Value.
Diversification Opportunities for Nasdaq-100(r) and Lsv Value
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Nasdaq-100(r) and Lsv is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 2x Strategy and Lsv Value Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lsv Value Equity and Nasdaq-100(r) 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 Lsv Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lsv Value Equity has no effect on the direction of Nasdaq-100(r) i.e., Nasdaq-100(r) and Lsv Value go up and down completely randomly.
Pair Corralation between Nasdaq-100(r) and Lsv Value
Assuming the 90 days horizon Nasdaq 100 2x Strategy is expected to generate 2.19 times more return on investment than Lsv Value. However, Nasdaq-100(r) is 2.19 times more volatile than Lsv Value Equity. It trades about 0.1 of its potential returns per unit of risk. Lsv Value Equity is currently generating about 0.03 per unit of risk. If you would invest 15,921 in Nasdaq 100 2x Strategy on September 2, 2024 and sell it today you would earn a total of 25,813 from holding Nasdaq 100 2x Strategy or generate 162.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nasdaq 100 2x Strategy vs. Lsv Value Equity
Performance |
| Timeline |
| Nasdaq 100 2x |
| Lsv Value Equity |
Nasdaq-100(r) and Lsv Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nasdaq-100(r) and Lsv Value
The main advantage of trading using opposite Nasdaq-100(r) and Lsv Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nasdaq-100(r) position performs unexpectedly, Lsv Value 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 Lsv Value will offset losses from the drop in Lsv Value's long position.| Nasdaq-100(r) vs. Volumetric Fund Volumetric | Nasdaq-100(r) vs. Rbb Fund | Nasdaq-100(r) vs. Ab Value Fund | Nasdaq-100(r) vs. Vanguard Small Cap Growth |
| Lsv Value vs. Causeway Emerging Markets | Lsv Value vs. Loomis Sayles Growth | Lsv Value vs. Fidelity Sai Treasury | Lsv Value vs. Transamerica International Equity |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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