Correlation Between Sachem Capital and XOMA
Can any of the company-specific risk be diversified away by investing in both Sachem Capital and XOMA 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 Sachem Capital and XOMA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sachem Capital Corp and XOMA Corporation, you can compare the effects of market volatilities on Sachem Capital and XOMA 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 Sachem Capital with a short position of XOMA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sachem Capital and XOMA.
Diversification Opportunities for Sachem Capital and XOMA
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sachem and XOMA is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Sachem Capital Corp and XOMA Corp. in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on XOMA and Sachem Capital 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 Sachem Capital Corp are associated (or correlated) with XOMA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XOMA has no effect on the direction of Sachem Capital i.e., Sachem Capital and XOMA go up and down completely randomly.
Pair Corralation between Sachem Capital and XOMA
Assuming the 90 days trading horizon Sachem Capital Corp is expected to under-perform the XOMA. In addition to that, Sachem Capital is 12.02 times more volatile than XOMA Corporation. It trades about -0.36 of its total potential returns per unit of risk. XOMA Corporation is currently generating about -0.41 per unit of volatility. If you would invest 2,562 in XOMA Corporation on August 26, 2024 and sell it today you would lose (37.00) from holding XOMA Corporation or give up 1.44% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sachem Capital Corp vs. XOMA Corp.
Performance |
| Timeline |
| Sachem Capital Corp |
| XOMA |
Sachem Capital and XOMA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sachem Capital and XOMA
The main advantage of trading using opposite Sachem Capital and XOMA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sachem Capital position performs unexpectedly, XOMA 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 XOMA will offset losses from the drop in XOMA's long position.| Sachem Capital vs. Ready Capital | Sachem Capital vs. ARMOUR Residential REIT | Sachem Capital vs. PennyMac Mortgage Investment | Sachem Capital vs. MFA Financial |
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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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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