Correlation Between All Asset and Siit Us
Can any of the company-specific risk be diversified away by investing in both All Asset and Siit Us 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 All Asset and Siit Us into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between All Asset Fund and Siit Equity Factor, you can compare the effects of market volatilities on All Asset and Siit Us 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 All Asset with a short position of Siit Us. Check out your portfolio center. Please also check ongoing floating volatility patterns of All Asset and Siit Us.
Diversification Opportunities for All Asset and Siit Us
Very poor diversification
The 3 months correlation between All and Siit is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding All Asset Fund and Siit Equity Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Equity Factor and All Asset 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 All Asset Fund are associated (or correlated) with Siit Us. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Equity Factor has no effect on the direction of All Asset i.e., All Asset and Siit Us go up and down completely randomly.
Pair Corralation between All Asset and Siit Us
Assuming the 90 days horizon All Asset is expected to generate 1.84 times less return on investment than Siit Us. But when comparing it to its historical volatility, All Asset Fund is 2.12 times less risky than Siit Us. It trades about 0.15 of its potential returns per unit of risk. Siit Equity Factor is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 1,476 in Siit Equity Factor on October 25, 2024 and sell it today you would earn a total of 26.00 from holding Siit Equity Factor or generate 1.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 94.74% |
| Values | Daily Returns |
All Asset Fund vs. Siit Equity Factor
Performance |
| Timeline |
| All Asset Fund |
| Siit Equity Factor |
All Asset and Siit Us Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with All Asset and Siit Us
The main advantage of trading using opposite All Asset and Siit Us positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if All Asset position performs unexpectedly, Siit Us 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 Siit Us will offset losses from the drop in Siit Us' long position.| All Asset vs. Siit Equity Factor | All Asset vs. Us Vector Equity | All Asset vs. Doubleline Core Fixed | All Asset vs. Aqr Long Short Equity |
| Siit Us vs. T Rowe Price | Siit Us vs. City National Rochdale | Siit Us vs. Neuberger Berman Income | Siit Us vs. Jpmorgan High Yield |
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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