Correlation Between Nasdaq-100(r) and Sit Mid
Can any of the company-specific risk be diversified away by investing in both Nasdaq-100(r) and Sit Mid 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 Sit Mid 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 Sit Mid Cap, you can compare the effects of market volatilities on Nasdaq-100(r) and Sit Mid 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 Sit Mid. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq-100(r) and Sit Mid.
Diversification Opportunities for Nasdaq-100(r) and Sit Mid
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Nasdaq-100(r) and Sit is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 2x Strategy and Sit Mid Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sit Mid Cap 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 Sit Mid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sit Mid Cap has no effect on the direction of Nasdaq-100(r) i.e., Nasdaq-100(r) and Sit Mid go up and down completely randomly.
Pair Corralation between Nasdaq-100(r) and Sit Mid
Assuming the 90 days horizon Nasdaq 100 2x Strategy is expected to under-perform the Sit Mid. In addition to that, Nasdaq-100(r) is 2.0 times more volatile than Sit Mid Cap. It trades about -0.07 of its total potential returns per unit of risk. Sit Mid Cap is currently generating about -0.1 per unit of volatility. If you would invest 2,569 in Sit Mid Cap on December 3, 2024 and sell it today you would lose (217.00) from holding Sit Mid Cap or give up 8.45% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Nasdaq 100 2x Strategy vs. Sit Mid Cap
Performance |
Timeline |
Nasdaq 100 2x |
Sit Mid Cap |
Nasdaq-100(r) and Sit Mid Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Nasdaq-100(r) and Sit Mid
The main advantage of trading using opposite Nasdaq-100(r) and Sit Mid positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nasdaq-100(r) position performs unexpectedly, Sit Mid 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 Sit Mid will offset losses from the drop in Sit Mid's long position.Nasdaq-100(r) vs. Crossmark Steward Equity | Nasdaq-100(r) vs. Guidemark E Fixed | Nasdaq-100(r) vs. Rbc Funds Trust | Nasdaq-100(r) vs. Dodge International Stock |
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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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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