Correlation Between Russell 2000 and Arrow Managed
Can any of the company-specific risk be diversified away by investing in both Russell 2000 and Arrow Managed 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 Russell 2000 and Arrow Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Russell 2000 15x and Arrow Managed Futures, you can compare the effects of market volatilities on Russell 2000 and Arrow Managed 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 Russell 2000 with a short position of Arrow Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Arrow Managed.
Diversification Opportunities for Russell 2000 and Arrow Managed
0.05 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Russell and Arrow is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 15x and Arrow Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arrow Managed Futures and Russell 2000 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 Russell 2000 15x are associated (or correlated) with Arrow Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arrow Managed Futures has no effect on the direction of Russell 2000 i.e., Russell 2000 and Arrow Managed go up and down completely randomly.
Pair Corralation between Russell 2000 and Arrow Managed
Assuming the 90 days horizon Russell 2000 15x is expected to under-perform the Arrow Managed. In addition to that, Russell 2000 is 1.27 times more volatile than Arrow Managed Futures. It trades about -0.02 of its total potential returns per unit of risk. Arrow Managed Futures is currently generating about 0.17 per unit of volatility. If you would invest 554.00 in Arrow Managed Futures on September 15, 2024 and sell it today you would earn a total of 22.00 from holding Arrow Managed Futures or generate 3.97% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Russell 2000 15x vs. Arrow Managed Futures
Performance |
| Timeline |
| Russell 2000 15x |
| Arrow Managed Futures |
Russell 2000 and Arrow Managed Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Russell 2000 and Arrow Managed
The main advantage of trading using opposite Russell 2000 and Arrow Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Russell 2000 position performs unexpectedly, Arrow Managed 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 Arrow Managed will offset losses from the drop in Arrow Managed's long position.| Russell 2000 vs. Arrow Managed Futures | Russell 2000 vs. T Rowe Price | Russell 2000 vs. Falcon Focus Scv | Russell 2000 vs. Volumetric Fund Volumetric |
| Arrow Managed vs. Ab Select Equity | Arrow Managed vs. Rbc Global Equity | Arrow Managed vs. Us Vector Equity | Arrow Managed vs. Us Strategic 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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