Correlation Between Saat Defensive and Sit International
Can any of the company-specific risk be diversified away by investing in both Saat Defensive and Sit International 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 Saat Defensive and Sit International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Saat Defensive Strategy and Sit International Equity, you can compare the effects of market volatilities on Saat Defensive and Sit International 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 Saat Defensive with a short position of Sit International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saat Defensive and Sit International.
Diversification Opportunities for Saat Defensive and Sit International
-0.45 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Saat and Sit is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding Saat Defensive Strategy and Sit International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sit International Equity and Saat Defensive 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 Saat Defensive Strategy are associated (or correlated) with Sit International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sit International Equity has no effect on the direction of Saat Defensive i.e., Saat Defensive and Sit International go up and down completely randomly.
Pair Corralation between Saat Defensive and Sit International
Assuming the 90 days horizon Saat Defensive is expected to generate 1.95 times less return on investment than Sit International. But when comparing it to its historical volatility, Saat Defensive Strategy is 12.72 times less risky than Sit International. It trades about 0.39 of its potential returns per unit of risk. Sit International Equity is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 1,095 in Sit International Equity on August 29, 2024 and sell it today you would earn a total of 152.00 from holding Sit International Equity or generate 13.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Saat Defensive Strategy vs. Sit International Equity
Performance |
| Timeline |
| Saat Defensive Strategy |
| Sit International Equity |
Saat Defensive and Sit International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Saat Defensive and Sit International
The main advantage of trading using opposite Saat Defensive and Sit International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Saat Defensive position performs unexpectedly, Sit International 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 Sit International will offset losses from the drop in Sit International's long position.| Saat Defensive vs. Morgan Stanley Global | Saat Defensive vs. Commonwealth Global Fund | Saat Defensive vs. Wasatch Global Opportunities | Saat Defensive vs. Massmutual Premier Global |
| Sit International vs. Sit Emerging Markets | Sit International vs. Simt E Fixed | Sit International vs. Simt Multi Asset Income | Sit International vs. Simt Global Managed |
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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