Correlation Between Coreshares Index and Satrix MSCI

Can any of the company-specific risk be diversified away by investing in both Coreshares Index and Satrix MSCI 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 Coreshares Index and Satrix MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Coreshares Index Tracker and Satrix MSCI World, you can compare the effects of market volatilities on Coreshares Index and Satrix MSCI 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 Coreshares Index with a short position of Satrix MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Coreshares Index and Satrix MSCI.

Diversification Opportunities for Coreshares Index and Satrix MSCI

-0.06

Correlation Coefficient

Coreshares Index  Satrix MSCI

Good diversification

The 3 months correlation between Coreshares and Satrix is -0.06. Overlapping area represents the amount of risk that can be diversified away by holding Coreshares Index Tracker and Satrix MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Satrix MSCI World and Coreshares Index 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 Coreshares Index Tracker are associated (or correlated) with Satrix MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Satrix MSCI World has no effect on the direction of Coreshares Index i.e., Coreshares Index and Satrix MSCI go up and down completely randomly.

Pair Corralation between Coreshares Index and Satrix MSCI

Assuming the 90 days trading horizon Coreshares Index is expected to generate 1.06 times less return on investment than Satrix MSCI. But when comparing it to its historical volatility, Coreshares Index Tracker is 1.11 times less risky than Satrix MSCI. It trades about 0.23 of its potential returns per unit of risk. Satrix MSCI World is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  983,300  in Satrix MSCI World on October 13, 2024 and sell it today you would earn a total of  36,600  from holding Satrix MSCI World or generate 3.72% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Coreshares Index Tracker  vs.  Satrix MSCI World

Coreshares Index Tracker

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Coreshares Index Tracker has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental indicators, Coreshares Index is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Satrix MSCI World

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Satrix MSCI World are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Despite somewhat unsteady basic indicators, Satrix MSCI may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with Coreshares Index and Satrix MSCI

The main advantage of trading using opposite Coreshares Index and Satrix MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Coreshares Index position performs unexpectedly, Satrix MSCI 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 MSCI will offset losses from the drop in Satrix MSCI's long position.

The idea behind Coreshares Index Tracker and Satrix MSCI World pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.