Correlation Between Glg Intl and Saat Defensive
Can any of the company-specific risk be diversified away by investing in both Glg Intl and Saat Defensive 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 Glg Intl and Saat Defensive into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Glg Intl Small and Saat Defensive Strategy, you can compare the effects of market volatilities on Glg Intl and Saat Defensive 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 Glg Intl with a short position of Saat Defensive. Check out your portfolio center. Please also check ongoing floating volatility patterns of Glg Intl and Saat Defensive.
Diversification Opportunities for Glg Intl and Saat Defensive
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Glg and Saat is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Glg Intl Small and Saat Defensive Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saat Defensive Strategy and Glg Intl 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 Glg Intl Small are associated (or correlated) with Saat Defensive. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saat Defensive Strategy has no effect on the direction of Glg Intl i.e., Glg Intl and Saat Defensive go up and down completely randomly.
Pair Corralation between Glg Intl and Saat Defensive
Assuming the 90 days horizon Glg Intl Small is expected to generate 7.68 times more return on investment than Saat Defensive. However, Glg Intl is 7.68 times more volatile than Saat Defensive Strategy. It trades about 0.08 of its potential returns per unit of risk. Saat Defensive Strategy is currently generating about 0.13 per unit of risk. If you would invest 5,716 in Glg Intl Small on October 21, 2024 and sell it today you would earn a total of 2,837 from holding Glg Intl Small or generate 49.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Glg Intl Small vs. Saat Defensive Strategy
Performance |
| Timeline |
| Glg Intl Small |
| Saat Defensive Strategy |
Glg Intl and Saat Defensive Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Glg Intl and Saat Defensive
The main advantage of trading using opposite Glg Intl and Saat Defensive positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Glg Intl position performs unexpectedly, Saat Defensive 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 Saat Defensive will offset losses from the drop in Saat Defensive's long position.| Glg Intl vs. Mid Cap 15x Strategy | Glg Intl vs. Balanced Strategy Fund | Glg Intl vs. Western Assets Emerging | Glg Intl vs. Saat Defensive Strategy |
| Saat Defensive vs. Artisan Small Cap | Saat Defensive vs. Lebenthal Lisanti Small | Saat Defensive vs. Glg Intl Small | Saat Defensive vs. Touchstone Small Cap |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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