Correlation Between Satrix MSCI and Satrix 40
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By analyzing existing cross correlation between Satrix MSCI World and Satrix 40 ETF, you can compare the effects of market volatilities on Satrix MSCI and Satrix 40 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 Satrix MSCI with a short position of Satrix 40. Check out your portfolio center. Please also check ongoing floating volatility patterns of Satrix MSCI and Satrix 40.
Diversification Opportunities for Satrix MSCI and Satrix 40
0.17 | Correlation Coefficient |
Average diversification
The 3 months correlation between Satrix and Satrix is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding Satrix MSCI World and Satrix 40 ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Satrix 40 ETF and Satrix MSCI 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 Satrix MSCI World are associated (or correlated) with Satrix 40. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Satrix 40 ETF has no effect on the direction of Satrix MSCI i.e., Satrix MSCI and Satrix 40 go up and down completely randomly.
Pair Corralation between Satrix MSCI and Satrix 40
Assuming the 90 days trading horizon Satrix MSCI World is expected to generate 1.77 times more return on investment than Satrix 40. However, Satrix MSCI is 1.77 times more volatile than Satrix 40 ETF. It trades about 0.25 of its potential returns per unit of risk. Satrix 40 ETF is currently generating about -0.18 per unit of risk. If you would invest 931,000 in Satrix MSCI World on September 2, 2024 and sell it today you would earn a total of 57,300 from holding Satrix MSCI World or generate 6.15% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Satrix MSCI World vs. Satrix 40 ETF
Performance |
| Timeline |
| Satrix MSCI World |
| Satrix 40 ETF |
Satrix MSCI and Satrix 40 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Satrix MSCI and Satrix 40
The main advantage of trading using opposite Satrix MSCI and Satrix 40 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Satrix MSCI position performs unexpectedly, Satrix 40 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 Satrix 40 will offset losses from the drop in Satrix 40's long position.| Satrix MSCI vs. Europa Metals | Satrix MSCI vs. JSE Limited | Satrix MSCI vs. British American Tobacco | Satrix MSCI vs. Kap Industrial Holdings |
| Satrix 40 vs. Satrix MSCI World | Satrix 40 vs. Satrix Swix Top | Satrix 40 vs. Satrix MSCI EM | Satrix 40 vs. Satrix Resi ETF |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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