Correlation Between Transamerica High and Nasdaq-100(r)
Can any of the company-specific risk be diversified away by investing in both Transamerica High and Nasdaq-100(r) 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 Transamerica High and Nasdaq-100(r) into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Transamerica High Yield and Nasdaq 100 2x Strategy, you can compare the effects of market volatilities on Transamerica High and Nasdaq-100(r) 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 Transamerica High with a short position of Nasdaq-100(r). Check out your portfolio center. Please also check ongoing floating volatility patterns of Transamerica High and Nasdaq-100(r).
Diversification Opportunities for Transamerica High and Nasdaq-100(r)
0.38 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Transamerica and Nasdaq-100(r) is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding Transamerica High Yield and Nasdaq 100 2x Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nasdaq 100 2x and Transamerica High 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 Transamerica High Yield are associated (or correlated) with Nasdaq-100(r). Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nasdaq 100 2x has no effect on the direction of Transamerica High i.e., Transamerica High and Nasdaq-100(r) go up and down completely randomly.
Pair Corralation between Transamerica High and Nasdaq-100(r)
Assuming the 90 days horizon Transamerica High is expected to generate 7.34 times less return on investment than Nasdaq-100(r). But when comparing it to its historical volatility, Transamerica High Yield is 13.44 times less risky than Nasdaq-100(r). It trades about 0.15 of its potential returns per unit of risk. Nasdaq 100 2x Strategy is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 38,566 in Nasdaq 100 2x Strategy on November 3, 2024 and sell it today you would earn a total of 1,507 from holding Nasdaq 100 2x Strategy or generate 3.91% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Transamerica High Yield vs. Nasdaq 100 2x Strategy
Performance |
| Timeline |
| Transamerica High Yield |
| Nasdaq 100 2x |
Transamerica High and Nasdaq-100(r) Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Transamerica High and Nasdaq-100(r)
The main advantage of trading using opposite Transamerica High and Nasdaq-100(r) positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Transamerica High position performs unexpectedly, Nasdaq-100(r) 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 Nasdaq-100(r) will offset losses from the drop in Nasdaq-100(r)'s long position.| Transamerica High vs. Barings High Yield | Transamerica High vs. Ultra Short Fixed Income | Transamerica High vs. Ambrus Core Bond | Transamerica High vs. Rationalpier 88 Convertible |
| Nasdaq-100(r) vs. Rationalpier 88 Convertible | Nasdaq-100(r) vs. Gabelli Convertible And | Nasdaq-100(r) vs. Virtus Convertible | Nasdaq-100(r) vs. Absolute Convertible Arbitrage |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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