Correlation Between Sa Mkt and Sa Value
Can any of the company-specific risk be diversified away by investing in both Sa Mkt and Sa Value 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 Sa Mkt and Sa Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sa Mkt Fd and Sa Value, you can compare the effects of market volatilities on Sa Mkt and Sa Value 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 Sa Mkt with a short position of Sa Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sa Mkt and Sa Value.
Diversification Opportunities for Sa Mkt and Sa Value
Almost no diversification
The 3 months correlation between SAMKX and SABTX is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Sa Mkt Fd and Sa Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sa Value and Sa Mkt 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 Sa Mkt Fd are associated (or correlated) with Sa Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sa Value has no effect on the direction of Sa Mkt i.e., Sa Mkt and Sa Value go up and down completely randomly.
Pair Corralation between Sa Mkt and Sa Value
Assuming the 90 days horizon Sa Mkt Fd is expected to generate 1.01 times more return on investment than Sa Value. However, Sa Mkt is 1.01 times more volatile than Sa Value. It trades about 0.15 of its potential returns per unit of risk. Sa Value is currently generating about 0.13 per unit of risk. If you would invest 2,846 in Sa Mkt Fd on September 3, 2024 and sell it today you would earn a total of 912.00 from holding Sa Mkt Fd or generate 32.04% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sa Mkt Fd vs. Sa Value
Performance |
| Timeline |
| Sa Mkt Fd |
| Sa Value |
Sa Mkt and Sa Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sa Mkt and Sa Value
The main advantage of trading using opposite Sa Mkt and Sa Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sa Mkt position performs unexpectedly, Sa Value 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 Sa Value will offset losses from the drop in Sa Value's long position.| Sa Mkt vs. Siit High Yield | Sa Mkt vs. Morningstar Aggressive Growth | Sa Mkt vs. Lgm Risk Managed | Sa Mkt vs. Western Asset High |
| Sa Value vs. Sa Small Company | Sa Value vs. Sa Mkt Fd | Sa Value vs. Sa International Value | Sa Value vs. Sa International Small |
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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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