Correlation Between Nasdaq-100(r) and Teton Westwood
Can any of the company-specific risk be diversified away by investing in both Nasdaq-100(r) and Teton Westwood 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 Teton Westwood 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 Teton Westwood Small, you can compare the effects of market volatilities on Nasdaq-100(r) and Teton Westwood 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 Teton Westwood. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq-100(r) and Teton Westwood.
Diversification Opportunities for Nasdaq-100(r) and Teton Westwood
0.02 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Nasdaq-100(r) and Teton is 0.02. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 2x Strategy and Teton Westwood Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Teton Westwood Small 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 Teton Westwood. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Teton Westwood Small has no effect on the direction of Nasdaq-100(r) i.e., Nasdaq-100(r) and Teton Westwood go up and down completely randomly.
Pair Corralation between Nasdaq-100(r) and Teton Westwood
Assuming the 90 days horizon Nasdaq-100(r) is expected to generate 3.9 times less return on investment than Teton Westwood. In addition to that, Nasdaq-100(r) is 2.51 times more volatile than Teton Westwood Small. It trades about 0.01 of its total potential returns per unit of risk. Teton Westwood Small is currently generating about 0.06 per unit of volatility. If you would invest 2,359 in Teton Westwood Small on October 25, 2024 and sell it today you would earn a total of 24.00 from holding Teton Westwood Small or generate 1.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nasdaq 100 2x Strategy vs. Teton Westwood Small
Performance |
| Timeline |
| Nasdaq 100 2x |
| Teton Westwood Small |
Nasdaq-100(r) and Teton Westwood Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nasdaq-100(r) and Teton Westwood
The main advantage of trading using opposite Nasdaq-100(r) and Teton Westwood positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nasdaq-100(r) position performs unexpectedly, Teton Westwood 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 Teton Westwood will offset losses from the drop in Teton Westwood's long position.| Nasdaq-100(r) vs. Sp 500 2x | Nasdaq-100(r) vs. Inverse Nasdaq 100 2x | Nasdaq-100(r) vs. Inverse Sp 500 | Nasdaq-100(r) vs. Ultra Nasdaq 100 Profunds |
| Teton Westwood vs. Stone Ridge Diversified | Teton Westwood vs. Goldman Sachs Short Term | Teton Westwood vs. Federated Hermes Conservative | Teton Westwood vs. Global Diversified Income |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
Other Complementary Tools
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
| Earnings Calls Check upcoming earnings announcements updated hourly across public exchanges | |
| CEOs Directory Screen CEOs from public companies around the world |