Correlation Between Sit Balanced and Value Line
Can any of the company-specific risk be diversified away by investing in both Sit Balanced and Value Line 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 Sit Balanced and Value Line into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sit Balanced Fund and Value Line Asset, you can compare the effects of market volatilities on Sit Balanced and Value Line 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 Sit Balanced with a short position of Value Line. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sit Balanced and Value Line.
Diversification Opportunities for Sit Balanced and Value Line
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SIT and Value is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Sit Balanced Fund and Value Line Asset in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Value Line Asset and Sit Balanced 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 Sit Balanced Fund are associated (or correlated) with Value Line. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Value Line Asset has no effect on the direction of Sit Balanced i.e., Sit Balanced and Value Line go up and down completely randomly.
Pair Corralation between Sit Balanced and Value Line
Assuming the 90 days horizon Sit Balanced is expected to generate 2.01 times less return on investment than Value Line. But when comparing it to its historical volatility, Sit Balanced Fund is 1.0 times less risky than Value Line. It trades about 0.11 of its potential returns per unit of risk. Value Line Asset is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 4,551 in Value Line Asset on August 30, 2024 and sell it today you would earn a total of 149.00 from holding Value Line Asset or generate 3.27% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Sit Balanced Fund vs. Value Line Asset
Performance |
| Timeline |
| Sit Balanced |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
OK
| Value Line Asset |
Sit Balanced and Value Line Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sit Balanced and Value Line
The main advantage of trading using opposite Sit Balanced and Value Line positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sit Balanced position performs unexpectedly, Value Line 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 Value Line will offset losses from the drop in Value Line's long position.| Sit Balanced vs. Value Line Asset | Sit Balanced vs. Sit Large Cap | Sit Balanced vs. Sit Small Cap | Sit Balanced vs. Sit International Growth |
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 Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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