Correlation Between Pnc International and Arbitrage Fund

Can any of the company-specific risk be diversified away by investing in both Pnc International and Arbitrage Fund 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 Pnc International and Arbitrage Fund into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Pnc International Equity and The Arbitrage Fund, you can compare the effects of market volatilities on Pnc International and Arbitrage Fund 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 Pnc International with a short position of Arbitrage Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pnc International and Arbitrage Fund.

Diversification Opportunities for Pnc International and Arbitrage Fund

0.91

Correlation Coefficient

Pnc International  Arbitrage Fund

Almost no diversification

The 3 months correlation between Pnc and Arbitrage is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Pnc International Equity and The Arbitrage Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arbitrage Fund and Pnc International 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 Pnc International Equity are associated (or correlated) with Arbitrage Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arbitrage Fund has no effect on the direction of Pnc International i.e., Pnc International and Arbitrage Fund go up and down completely randomly.

Pair Corralation between Pnc International and Arbitrage Fund

Assuming the 90 days horizon Pnc International Equity is expected to generate 6.13 times more return on investment than Arbitrage Fund. However, Pnc International is 6.13 times more volatile than The Arbitrage Fund. It trades about 0.14 of its potential returns per unit of risk. The Arbitrage Fund is currently generating about 0.07 per unit of risk. If you would invest  2,241  in Pnc International Equity on March 31, 2025 and sell it today you would earn a total of  260.00  from holding Pnc International Equity or generate 11.6% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	98.41%
Values	Daily Returns

Pnc International Equity  vs.  The Arbitrage Fund

Pnc International Equity

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Pnc International Equity are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward indicators, Pnc International may actually be approaching a critical reversion point that can send shares even higher in July 2025.

Arbitrage Fund

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in The Arbitrage Fund are ranked lower than 5 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong fundamental indicators, Arbitrage Fund is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Pnc International and Arbitrage Fund

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

The idea behind Pnc International Equity and The Arbitrage Fund 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.

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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.