Correlation Between IndexIQ Active and Ultimus Managers

Can any of the company-specific risk be diversified away by investing in both IndexIQ Active and Ultimus Managers 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 IndexIQ Active and Ultimus Managers into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between IndexIQ Active ETF and Ultimus Managers Trust, you can compare the effects of market volatilities on IndexIQ Active and Ultimus Managers 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 IndexIQ Active with a short position of Ultimus Managers. Check out your portfolio center. Please also check ongoing floating volatility patterns of IndexIQ Active and Ultimus Managers.

Diversification Opportunities for IndexIQ Active and Ultimus Managers

-0.44

Correlation Coefficient

IndexIQ Active  Ultimus Managers

Very good diversification

The 3 months correlation between IndexIQ and Ultimus is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding IndexIQ Active ETF and Ultimus Managers Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultimus Managers Trust and IndexIQ Active 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 IndexIQ Active ETF are associated (or correlated) with Ultimus Managers. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultimus Managers Trust has no effect on the direction of IndexIQ Active i.e., IndexIQ Active and Ultimus Managers go up and down completely randomly.

Pair Corralation between IndexIQ Active and Ultimus Managers

Given the investment horizon of 90 days IndexIQ Active ETF is expected to under-perform the Ultimus Managers. But the etf apears to be less risky and, when comparing its historical volatility, IndexIQ Active ETF is 1.36 times less risky than Ultimus Managers. The etf trades about -0.07 of its potential returns per unit of risk. The Ultimus Managers Trust is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  2,506  in Ultimus Managers Trust on September 12, 2024 and sell it today you would earn a total of  274.00  from holding Ultimus Managers Trust or generate 10.93% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

IndexIQ Active ETF  vs.  Ultimus Managers Trust

IndexIQ Active ETF

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days IndexIQ Active ETF has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, IndexIQ Active is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Ultimus Managers Trust

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Ultimus Managers Trust are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Ultimus Managers may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with IndexIQ Active and Ultimus Managers

The main advantage of trading using opposite IndexIQ Active and Ultimus Managers positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IndexIQ Active position performs unexpectedly, Ultimus Managers 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 Ultimus Managers will offset losses from the drop in Ultimus Managers' long position.

The idea behind IndexIQ Active ETF and Ultimus Managers Trust pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.