Correlation Between Advent Claymore and Nasdaq-100(r)
Can any of the company-specific risk be diversified away by investing in both Advent Claymore 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 Advent Claymore 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 Advent Claymore Convertible and Nasdaq 100 2x Strategy, you can compare the effects of market volatilities on Advent Claymore 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 Advent Claymore with a short position of Nasdaq-100(r). Check out your portfolio center. Please also check ongoing floating volatility patterns of Advent Claymore and Nasdaq-100(r).
Diversification Opportunities for Advent Claymore and Nasdaq-100(r)
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Advent and Nasdaq-100(r) is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Advent Claymore Convertible 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 Advent Claymore 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 Advent Claymore Convertible 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 Advent Claymore i.e., Advent Claymore and Nasdaq-100(r) go up and down completely randomly.
Pair Corralation between Advent Claymore and Nasdaq-100(r)
Assuming the 90 days horizon Advent Claymore Convertible is expected to under-perform the Nasdaq-100(r). But the mutual fund apears to be less risky and, when comparing its historical volatility, Advent Claymore Convertible is 3.24 times less risky than Nasdaq-100(r). The mutual fund trades about -0.02 of its potential returns per unit of risk. The Nasdaq 100 2x Strategy is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 16,140 in Nasdaq 100 2x Strategy on October 13, 2024 and sell it today you would earn a total of 21,867 from holding Nasdaq 100 2x Strategy or generate 135.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Advent Claymore Convertible vs. Nasdaq 100 2x Strategy
Performance |
| Timeline |
| Advent Claymore Conv |
| Nasdaq 100 2x |
Advent Claymore and Nasdaq-100(r) Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Advent Claymore and Nasdaq-100(r)
The main advantage of trading using opposite Advent Claymore and Nasdaq-100(r) positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Advent Claymore 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.| Advent Claymore vs. Touchstone Small Cap | Advent Claymore vs. Sp Smallcap 600 | Advent Claymore vs. Lebenthal Lisanti Small | Advent Claymore vs. Ab Small Cap |
| Nasdaq-100(r) vs. Advent Claymore Convertible | Nasdaq-100(r) vs. Invesco Vertible Securities | Nasdaq-100(r) vs. Putnam Vertible Securities | Nasdaq-100(r) vs. Allianzgi Convertible 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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