Correlation Between Sit Global and Sit Mid

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Can any of the company-specific risk be diversified away by investing in both Sit Global 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 Sit Global and Sit Mid into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sit Global Dividend and Sit Mid Cap, you can compare the effects of market volatilities on Sit Global 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 Sit Global with a short position of Sit Mid. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sit Global and Sit Mid.

Diversification Opportunities for Sit Global and Sit Mid

0.78
  Correlation Coefficient

Poor diversification

The 3 months correlation between Sit and Sit is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Sit Global Dividend 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 Sit Global 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 Sit Global Dividend 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 Sit Global i.e., Sit Global and Sit Mid go up and down completely randomly.

Pair Corralation between Sit Global and Sit Mid

Assuming the 90 days horizon Sit Global Dividend is expected to generate 0.7 times more return on investment than Sit Mid. However, Sit Global Dividend is 1.43 times less risky than Sit Mid. It trades about 0.1 of its potential returns per unit of risk. Sit Mid Cap is currently generating about 0.06 per unit of risk. If you would invest  2,033  in Sit Global Dividend on August 26, 2024 and sell it today you would earn a total of  795.00  from holding Sit Global Dividend or generate 39.1% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Sit Global Dividend  vs.  Sit Mid Cap

 Performance 
       Timeline  
Sit Global Dividend 

Risk-Adjusted Performance

2 of 100

 
Weak
 
Strong
Weak
Compared to the overall equity markets, risk-adjusted returns on investments in Sit Global Dividend are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Sit Global is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
Sit Mid Cap 

Risk-Adjusted Performance

11 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Sit Mid Cap are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak technical and fundamental indicators, Sit Mid may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Sit Global and Sit Mid Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Sit Global and Sit Mid

The main advantage of trading using opposite Sit Global and Sit Mid positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sit Global 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.
The idea behind Sit Global Dividend and Sit Mid Cap 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.

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