Correlation Between Bogle Small and Sgi Peak

Can any of the company-specific risk be diversified away by investing in both Bogle Small and Sgi Peak 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 Bogle Small and Sgi Peak into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Bogle Small Cap and Sgi Peak Growth, you can compare the effects of market volatilities on Bogle Small and Sgi Peak 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 Bogle Small with a short position of Sgi Peak. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bogle Small and Sgi Peak.

Diversification Opportunities for Bogle Small and Sgi Peak

0.92

Correlation Coefficient

Bogle Small  Sgi Peak

Almost no diversification

The 3 months correlation between Bogle and Sgi is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Bogle Small Cap and Sgi Peak Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sgi Peak Growth and Bogle Small 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 Bogle Small Cap are associated (or correlated) with Sgi Peak. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sgi Peak Growth has no effect on the direction of Bogle Small i.e., Bogle Small and Sgi Peak go up and down completely randomly.

Pair Corralation between Bogle Small and Sgi Peak

Assuming the 90 days horizon Bogle Small Cap is expected to under-perform the Sgi Peak. In addition to that, Bogle Small is 1.21 times more volatile than Sgi Peak Growth. It trades about -0.1 of its total potential returns per unit of risk. Sgi Peak Growth is currently generating about -0.05 per unit of volatility. If you would invest  1,158  in Sgi Peak Growth on December 20, 2024 and sell it today you would lose (37.00) from holding Sgi Peak Growth or give up 3.2% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Bogle Small Cap  vs.  Sgi Peak Growth

Bogle Small Cap

Risk-Adjusted Performance

Very Weak

Over the last 90 days Bogle Small Cap has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Sgi Peak Growth

Risk-Adjusted Performance

Very Weak

Over the last 90 days Sgi Peak Growth has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward-looking signals, Sgi Peak is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Bogle Small and Sgi Peak

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

The idea behind Bogle Small Cap and Sgi Peak Growth 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.