Correlation Between Stet California and Siit Intermediate
Can any of the company-specific risk be diversified away by investing in both Stet California and Siit Intermediate 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 Stet California and Siit Intermediate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Stet California Municipal and Siit Intermediate Duration, you can compare the effects of market volatilities on Stet California and Siit Intermediate 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 Stet California with a short position of Siit Intermediate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Stet California and Siit Intermediate.
Diversification Opportunities for Stet California and Siit Intermediate
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Stet and Siit is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Stet California Municipal and Siit Intermediate Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Intermediate and Stet California 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 Stet California Municipal are associated (or correlated) with Siit Intermediate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Intermediate has no effect on the direction of Stet California i.e., Stet California and Siit Intermediate go up and down completely randomly.
Pair Corralation between Stet California and Siit Intermediate
Assuming the 90 days horizon Stet California is expected to generate 3.04 times less return on investment than Siit Intermediate. But when comparing it to its historical volatility, Stet California Municipal is 2.13 times less risky than Siit Intermediate. It trades about 0.03 of its potential returns per unit of risk. Siit Intermediate Duration is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 809.00 in Siit Intermediate Duration on November 1, 2024 and sell it today you would earn a total of 66.00 from holding Siit Intermediate Duration or generate 8.16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Stet California Municipal vs. Siit Intermediate Duration
Performance |
| Timeline |
| Stet California Municipal |
| Siit Intermediate |
Stet California and Siit Intermediate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Stet California and Siit Intermediate
The main advantage of trading using opposite Stet California and Siit Intermediate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Stet California position performs unexpectedly, Siit Intermediate 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 Intermediate will offset losses from the drop in Siit Intermediate's long position.| Stet California vs. Upright Assets Allocation | Stet California vs. Dodge Cox Stock | Stet California vs. T Rowe Price | Stet California vs. Franklin Moderate Allocation |
| Siit Intermediate vs. Simt Multi Asset Accumulation | Siit Intermediate vs. Saat Market Growth | Siit Intermediate vs. Simt Real Return | Siit Intermediate vs. Simt Small Cap |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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