Correlation Between Nasdaq 100 and Catalyst/millburn
Can any of the company-specific risk be diversified away by investing in both Nasdaq 100 and Catalyst/millburn 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 Catalyst/millburn 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 Catalystmillburn Hedge Strategy, you can compare the effects of market volatilities on Nasdaq 100 and Catalyst/millburn 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 Catalyst/millburn. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq 100 and Catalyst/millburn.
Diversification Opportunities for Nasdaq 100 and Catalyst/millburn
0.51 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Nasdaq and Catalyst/millburn is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 2x Strategy and Catalystmillburn Hedge Strateg in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Catalystmillburn Hedge 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 Catalyst/millburn. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Catalystmillburn Hedge has no effect on the direction of Nasdaq 100 i.e., Nasdaq 100 and Catalyst/millburn go up and down completely randomly.
Pair Corralation between Nasdaq 100 and Catalyst/millburn
Assuming the 90 days horizon Nasdaq 100 2x Strategy is expected to generate 4.67 times more return on investment than Catalyst/millburn. However, Nasdaq 100 is 4.67 times more volatile than Catalystmillburn Hedge Strategy. It trades about 0.07 of its potential returns per unit of risk. Catalystmillburn Hedge Strategy is currently generating about 0.21 per unit of risk. If you would invest 50,426 in Nasdaq 100 2x Strategy on October 18, 2024 and sell it today you would earn a total of 5,581 from holding Nasdaq 100 2x Strategy or generate 11.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nasdaq 100 2x Strategy vs. Catalystmillburn Hedge Strateg
Performance |
| Timeline |
| Nasdaq 100 2x |
| Catalystmillburn Hedge |
Nasdaq 100 and Catalyst/millburn Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nasdaq 100 and Catalyst/millburn
The main advantage of trading using opposite Nasdaq 100 and Catalyst/millburn positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nasdaq 100 position performs unexpectedly, Catalyst/millburn 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 Catalyst/millburn will offset losses from the drop in Catalyst/millburn's long position.| Nasdaq 100 vs. Sp 500 2x | Nasdaq 100 vs. Inverse Nasdaq 100 2x | Nasdaq 100 vs. Inverse Sp 500 | Nasdaq 100 vs. Ultra Nasdaq 100 Profunds |
| Catalyst/millburn vs. Ips Strategic Capital | Catalyst/millburn vs. Tax Managed Large Cap | Catalyst/millburn vs. Volumetric Fund Volumetric | Catalyst/millburn vs. Kirr Marbach Partners |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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