Correlation Between Arrow Managed and Sp Midcap
Can any of the company-specific risk be diversified away by investing in both Arrow Managed and Sp Midcap 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 Arrow Managed and Sp Midcap into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Arrow Managed Futures and Sp Midcap Index, you can compare the effects of market volatilities on Arrow Managed and Sp Midcap 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 Arrow Managed with a short position of Sp Midcap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Arrow Managed and Sp Midcap.
Diversification Opportunities for Arrow Managed and Sp Midcap
-0.2 | Correlation Coefficient |
Good diversification
The 3 months correlation between Arrow and SPMIX is -0.2. Overlapping area represents the amount of risk that can be diversified away by holding Arrow Managed Futures and Sp Midcap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sp Midcap Index and Arrow Managed 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 Arrow Managed Futures are associated (or correlated) with Sp Midcap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sp Midcap Index has no effect on the direction of Arrow Managed i.e., Arrow Managed and Sp Midcap go up and down completely randomly.
Pair Corralation between Arrow Managed and Sp Midcap
Assuming the 90 days horizon Arrow Managed Futures is expected to generate 1.9 times more return on investment than Sp Midcap. However, Arrow Managed is 1.9 times more volatile than Sp Midcap Index. It trades about -0.02 of its potential returns per unit of risk. Sp Midcap Index is currently generating about -0.11 per unit of risk. If you would invest 575.00 in Arrow Managed Futures on December 5, 2024 and sell it today you would lose (12.00) from holding Arrow Managed Futures or give up 2.09% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Arrow Managed Futures vs. Sp Midcap Index
Performance |
Timeline |
Arrow Managed Futures |
Sp Midcap Index |
Arrow Managed and Sp Midcap Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Arrow Managed and Sp Midcap
The main advantage of trading using opposite Arrow Managed and Sp Midcap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Arrow Managed position performs unexpectedly, Sp Midcap 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 Sp Midcap will offset losses from the drop in Sp Midcap's long position.Arrow Managed vs. Intermediate Term Bond Fund | Arrow Managed vs. Doubleline Emerging Markets | Arrow Managed vs. Massmutual Premier E | Arrow Managed vs. Barings Active Short |
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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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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