Correlation Between Delek and Siit Intermediate

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

By analyzing existing cross correlation between Delek Group and Siit Intermediate Duration, you can compare the effects of market volatilities on Delek and Siit Intermediate 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 Delek with a short position of Siit Intermediate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Delek and Siit Intermediate.

Diversification Opportunities for Delek and Siit Intermediate

-0.57

Correlation Coefficient

Delek  Siit Intermediate

Excellent diversification

The 3 months correlation between Delek and Siit is -0.57. Overlapping area represents the amount of risk that can be diversified away by holding Delek Group and Siit Intermediate Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Intermediate and Delek 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 Delek Group are associated (or correlated) with Siit Intermediate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Intermediate has no effect on the direction of Delek i.e., Delek and Siit Intermediate go up and down completely randomly.

Pair Corralation between Delek and Siit Intermediate

Assuming the 90 days horizon Delek Group is expected to generate 5.63 times more return on investment than Siit Intermediate. However, Delek is 5.63 times more volatile than Siit Intermediate Duration. It trades about 0.2 of its potential returns per unit of risk. Siit Intermediate Duration is currently generating about -0.13 per unit of risk. If you would invest  1,023  in Delek Group on September 16, 2024 and sell it today you would earn a total of  266.00  from holding Delek Group or generate 26.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.48%
Values	Daily Returns

Delek Group  vs.  Siit Intermediate Duration

Delek Group

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Delek Group are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak forward-looking signals, Delek showed solid returns over the last few months and may actually be approaching a breakup point.

Siit Intermediate

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Siit Intermediate Duration has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong fundamental indicators, Siit Intermediate is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Delek and Siit Intermediate

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

The idea behind Delek Group and Siit Intermediate Duration 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.

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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.