Correlation Between Hennessy Focus and Saat Moderate
Can any of the company-specific risk be diversified away by investing in both Hennessy Focus and Saat Moderate 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 Hennessy Focus and Saat Moderate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Hennessy Focus Fund and Saat Moderate Strategy, you can compare the effects of market volatilities on Hennessy Focus and Saat Moderate 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 Hennessy Focus with a short position of Saat Moderate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hennessy Focus and Saat Moderate.
Diversification Opportunities for Hennessy Focus and Saat Moderate
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Hennessy and Saat is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Hennessy Focus Fund and Saat Moderate Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saat Moderate Strategy and Hennessy Focus 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 Hennessy Focus Fund are associated (or correlated) with Saat Moderate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saat Moderate Strategy has no effect on the direction of Hennessy Focus i.e., Hennessy Focus and Saat Moderate go up and down completely randomly.
Pair Corralation between Hennessy Focus and Saat Moderate
Assuming the 90 days horizon Hennessy Focus Fund is expected to generate 3.41 times more return on investment than Saat Moderate. However, Hennessy Focus is 3.41 times more volatile than Saat Moderate Strategy. It trades about 0.12 of its potential returns per unit of risk. Saat Moderate Strategy is currently generating about 0.21 per unit of risk. If you would invest 4,596 in Hennessy Focus Fund on September 1, 2024 and sell it today you would earn a total of 1,022 from holding Hennessy Focus Fund or generate 22.24% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Hennessy Focus Fund vs. Saat Moderate Strategy
Performance |
| Timeline |
| Hennessy Focus |
| Saat Moderate Strategy |
Hennessy Focus and Saat Moderate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Hennessy Focus and Saat Moderate
The main advantage of trading using opposite Hennessy Focus and Saat Moderate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hennessy Focus position performs unexpectedly, Saat Moderate 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 Moderate will offset losses from the drop in Saat Moderate's long position.| Hennessy Focus vs. Hennessy Nerstone Mid | Hennessy Focus vs. Amg Yacktman Focused | Hennessy Focus vs. Parnassus Endeavor Fund | Hennessy Focus vs. Hennessy Small Cap |
| Saat Moderate vs. Simt Managed Volatility | Saat Moderate vs. Simt Managed Volatility | Saat Moderate vs. Hennessy Focus Fund | Saat Moderate vs. The Disciplined Growth |
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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