Correlation Between Saba Closed and Saba Capital

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

By analyzing existing cross correlation between Saba Closed End Funds and Saba Capital Income, you can compare the effects of market volatilities on Saba Closed and Saba Capital 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 Saba Closed with a short position of Saba Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saba Closed and Saba Capital.

Diversification Opportunities for Saba Closed and Saba Capital

0.43

Correlation Coefficient

Saba Closed  Saba Capital

Very weak diversification

The 3 months correlation between Saba and Saba is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding Saba Closed End Funds and Saba Capital Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saba Capital Income and Saba Closed 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 Saba Closed End Funds are associated (or correlated) with Saba Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saba Capital Income has no effect on the direction of Saba Closed i.e., Saba Closed and Saba Capital go up and down completely randomly.

Pair Corralation between Saba Closed and Saba Capital

Given the investment horizon of 90 days Saba Closed is expected to generate 1.31 times less return on investment than Saba Capital. But when comparing it to its historical volatility, Saba Closed End Funds is 1.18 times less risky than Saba Capital. It trades about 0.12 of its potential returns per unit of risk. Saba Capital Income is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  708.00  in Saba Capital Income on October 5, 2024 and sell it today you would earn a total of  198.00  from holding Saba Capital Income or generate 27.97% return on investment over 90 days.

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

Saba Closed End Funds  vs.  Saba Capital Income

Saba Closed End

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Saba Closed End Funds has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable technical and fundamental indicators, Saba Closed is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Saba Capital Income

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Saba Capital Income are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite somewhat abnormal fundamental drivers, Saba Capital may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with Saba Closed and Saba Capital

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

The idea behind Saba Closed End Funds and Saba Capital Income 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.