Correlation Between Sit Tax and Fixed Income
Can any of the company-specific risk be diversified away by investing in both Sit Tax and Fixed Income 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 Tax and Fixed Income into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sit Tax Free Income and The Fixed Income, you can compare the effects of market volatilities on Sit Tax and Fixed Income 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 Tax with a short position of Fixed Income. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sit Tax and Fixed Income.
Diversification Opportunities for Sit Tax and Fixed Income
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sit and Fixed is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Sit Tax Free Income and The Fixed Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fixed Income and Sit Tax 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 Tax Free Income are associated (or correlated) with Fixed Income. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fixed Income has no effect on the direction of Sit Tax i.e., Sit Tax and Fixed Income go up and down completely randomly.
Pair Corralation between Sit Tax and Fixed Income
Assuming the 90 days horizon Sit Tax is expected to generate 1.82 times less return on investment than Fixed Income. But when comparing it to its historical volatility, Sit Tax Free Income is 1.45 times less risky than Fixed Income. It trades about 0.1 of its potential returns per unit of risk. The Fixed Income is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 596.00 in The Fixed Income on September 13, 2024 and sell it today you would earn a total of 149.00 from holding The Fixed Income or generate 25.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Sit Tax Free Income vs. The Fixed Income
Performance |
| Timeline |
| Sit Tax Free |
| Fixed Income |
Sit Tax and Fixed Income Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sit Tax and Fixed Income
The main advantage of trading using opposite Sit Tax and Fixed Income positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sit Tax position performs unexpectedly, Fixed Income 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 Fixed Income will offset losses from the drop in Fixed Income's long position.| Sit Tax vs. Sit Small Cap | Sit Tax vs. Sit Global Dividend | Sit Tax vs. Sit Global Dividend | Sit Tax vs. Sit Small Cap |
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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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