Correlation Between Dimensional International and SGI Enhanced
Can any of the company-specific risk be diversified away by investing in both Dimensional International and SGI Enhanced 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 Dimensional International and SGI Enhanced into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dimensional International High and SGI Enhanced Nasdaq 100, you can compare the effects of market volatilities on Dimensional International and SGI Enhanced 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 Dimensional International with a short position of SGI Enhanced. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dimensional International and SGI Enhanced.
Diversification Opportunities for Dimensional International and SGI Enhanced
-0.53 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Dimensional and SGI is -0.53. Overlapping area represents the amount of risk that can be diversified away by holding Dimensional International High and SGI Enhanced Nasdaq 100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SGI Enhanced Nasdaq and Dimensional 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 Dimensional International High are associated (or correlated) with SGI Enhanced. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SGI Enhanced Nasdaq has no effect on the direction of Dimensional International i.e., Dimensional International and SGI Enhanced go up and down completely randomly.
Pair Corralation between Dimensional International and SGI Enhanced
Given the investment horizon of 90 days Dimensional International High is expected to under-perform the SGI Enhanced. But the etf apears to be less risky and, when comparing its historical volatility, Dimensional International High is 1.85 times less risky than SGI Enhanced. The etf trades about -0.12 of its potential returns per unit of risk. The SGI Enhanced Nasdaq 100 is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 2,668 in SGI Enhanced Nasdaq 100 on September 13, 2024 and sell it today you would earn a total of 186.00 from holding SGI Enhanced Nasdaq 100 or generate 6.97% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dimensional International High vs. SGI Enhanced Nasdaq 100
Performance |
| Timeline |
| Dimensional International |
| SGI Enhanced Nasdaq |
Dimensional International and SGI Enhanced Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Dimensional International and SGI Enhanced
The main advantage of trading using opposite Dimensional International and SGI Enhanced positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dimensional International position performs unexpectedly, SGI Enhanced 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 SGI Enhanced will offset losses from the drop in SGI Enhanced's long position.The idea behind Dimensional International High and SGI Enhanced Nasdaq 100 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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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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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