Correlation Between NYSE Composite and Saba Capital
Can any of the company-specific risk be diversified away by investing in both NYSE Composite and Saba Capital 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 NYSE Composite and Saba Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NYSE Composite and Saba Capital Income, you can compare the effects of market volatilities on NYSE Composite and Saba Capital 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 NYSE Composite with a short position of Saba Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of NYSE Composite and Saba Capital.
Diversification Opportunities for NYSE Composite and Saba Capital
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between NYSE and Saba is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding NYSE Composite and Saba Capital Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saba Capital Income and NYSE Composite 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 NYSE Composite are associated (or correlated) with Saba Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saba Capital Income has no effect on the direction of NYSE Composite i.e., NYSE Composite and Saba Capital go up and down completely randomly.
Pair Corralation between NYSE Composite and Saba Capital
Assuming the 90 days trading horizon NYSE Composite is expected to generate 1.02 times more return on investment than Saba Capital. However, NYSE Composite is 1.02 times more volatile than Saba Capital Income. It trades about 0.11 of its potential returns per unit of risk. Saba Capital Income is currently generating about 0.08 per unit of risk. If you would invest 1,549,991 in NYSE Composite on September 1, 2024 and sell it today you would earn a total of 477,213 from holding NYSE Composite or generate 30.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.73% |
| Values | Daily Returns |
NYSE Composite vs. Saba Capital Income
Performance |
| Timeline |
NYSE Composite and Saba Capital Volatility Contrast
Predicted Return Density |
| Returns |
NYSE Composite
Pair trading matchups for NYSE Composite
Saba Capital Income
Pair trading matchups for Saba Capital
Pair Trading with NYSE Composite and Saba Capital
The main advantage of trading using opposite NYSE Composite and Saba Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NYSE Composite position performs unexpectedly, Saba Capital 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 Saba Capital will offset losses from the drop in Saba Capital's long position.| NYSE Composite vs. Acumen Pharmaceuticals | NYSE Composite vs. Mind Medicine | NYSE Composite vs. NL Industries | NYSE Composite vs. Ecovyst |
| Saba Capital vs. Federated Premier Municipal | Saba Capital vs. Blackrock Muniyield | Saba Capital vs. Diamond Hill Investment | Saba Capital vs. NXG NextGen Infrastructure |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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