Correlation Between Ishares Trust and Saba Capital

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

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

Diversification Opportunities for Ishares Trust and Saba Capital

0.83

Correlation Coefficient

Ishares Trust  Saba Capital

Very poor diversification

The 3 months correlation between Ishares and Saba is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Ishares Trust 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 Ishares Trust 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 Ishares Trust 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 Ishares Trust i.e., Ishares Trust and Saba Capital go up and down completely randomly.

Pair Corralation between Ishares Trust and Saba Capital

Given the investment horizon of 90 days Ishares Trust is expected to generate 1.33 times more return on investment than Saba Capital. However, Ishares Trust is 1.33 times more volatile than Saba Capital Income. It trades about 0.12 of its potential returns per unit of risk. Saba Capital Income is currently generating about 0.13 per unit of risk. If you would invest  3,202  in Ishares Trust on September 22, 2024 and sell it today you would earn a total of  112.20  from holding Ishares Trust or generate 3.5% return on investment over 90 days.

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

Ishares Trust   vs.  Saba Capital Income

Ishares Trust

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Ishares Trust are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Ishares Trust may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Saba Capital Income

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Saba Capital Income are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite somewhat inconsistent fundamental drivers, Saba Capital may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Ishares Trust and Saba Capital

The main advantage of trading using opposite Ishares Trust and Saba Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ishares Trust 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 Ishares Trust 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.