Correlation Between Great Elm and SuRo Capital

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

By analyzing existing cross correlation between Great Elm Capital and SuRo Capital Corp, you can compare the effects of market volatilities on Great Elm and SuRo 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 Great Elm with a short position of SuRo Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Great Elm and SuRo Capital.

Diversification Opportunities for Great Elm and SuRo Capital

0.28

Correlation Coefficient

Great Elm  SuRo Capital

Modest diversification

The 3 months correlation between Great and SuRo is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Great Elm Capital and SuRo Capital Corp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SuRo Capital Corp and Great Elm 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 Great Elm Capital are associated (or correlated) with SuRo Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SuRo Capital Corp has no effect on the direction of Great Elm i.e., Great Elm and SuRo Capital go up and down completely randomly.

Pair Corralation between Great Elm and SuRo Capital

Assuming the 90 days horizon Great Elm is expected to generate 1.02 times less return on investment than SuRo Capital. In addition to that, Great Elm is 1.46 times more volatile than SuRo Capital Corp. It trades about 0.05 of its total potential returns per unit of risk. SuRo Capital Corp is currently generating about 0.07 per unit of volatility. If you would invest  2,098  in SuRo Capital Corp on September 26, 2024 and sell it today you would earn a total of  367.00  from holding SuRo Capital Corp or generate 17.49% return on investment over 90 days.

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

Great Elm Capital  vs.  SuRo Capital Corp

Great Elm Capital

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Great Elm Capital are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy fundamental indicators, Great Elm is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

SuRo Capital Corp

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in SuRo Capital Corp are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent basic indicators, SuRo Capital is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Great Elm and SuRo Capital

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

The idea behind Great Elm Capital and SuRo Capital Corp 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.