Correlation Between Simt Us and Siit Us
Can any of the company-specific risk be diversified away by investing in both Simt Us and Siit Us 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 Simt Us and Siit Us into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Simt Managed Volatility and Siit Equity Factor, you can compare the effects of market volatilities on Simt Us and Siit Us 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 Simt Us with a short position of Siit Us. Check out your portfolio center. Please also check ongoing floating volatility patterns of Simt Us and Siit Us.
Diversification Opportunities for Simt Us and Siit Us
Almost no diversification
The 3 months correlation between Simt and Siit is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Simt Managed Volatility and Siit Equity Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Equity Factor and Simt Us 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 Simt Managed Volatility are associated (or correlated) with Siit Us. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Equity Factor has no effect on the direction of Simt Us i.e., Simt Us and Siit Us go up and down completely randomly.
Pair Corralation between Simt Us and Siit Us
Assuming the 90 days horizon Simt Us is expected to generate 1.18 times less return on investment than Siit Us. But when comparing it to its historical volatility, Simt Managed Volatility is 1.12 times less risky than Siit Us. It trades about 0.39 of its potential returns per unit of risk. Siit Equity Factor is currently generating about 0.41 of returns per unit of risk over similar time horizon. If you would invest 1,502 in Siit Equity Factor on September 1, 2024 and sell it today you would earn a total of 109.00 from holding Siit Equity Factor or generate 7.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Simt Managed Volatility vs. Siit Equity Factor
Performance |
| Timeline |
| Simt Managed Volatility |
| Siit Equity Factor |
Simt Us and Siit Us Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Simt Us and Siit Us
The main advantage of trading using opposite Simt Us and Siit Us positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Simt Us position performs unexpectedly, Siit Us 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 Us will offset losses from the drop in Siit Us' long position.| Simt Us vs. Victory Trivalent International | Simt Us vs. Mfs Research Fund | Simt Us vs. The Hartford Midcap | Simt Us vs. Mfs International Growth |
| Siit Us vs. Siit Dynamic Asset | Siit Us vs. Columbia Large Cap | Siit Us vs. Janus Growth And | Siit Us vs. Nationwide Sp 500 |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Other Complementary Tools
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes | |
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum |