Correlation Between Fundamental Large and Simt Tax-managed

Can any of the company-specific risk be diversified away by investing in both Fundamental Large and Simt Tax-managed 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 Fundamental Large and Simt Tax-managed into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Fundamental Large Cap and Simt Tax Managed Smallmid, you can compare the effects of market volatilities on Fundamental Large and Simt Tax-managed 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 Fundamental Large with a short position of Simt Tax-managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Fundamental Large and Simt Tax-managed.

Diversification Opportunities for Fundamental Large and Simt Tax-managed

0.96

Correlation Coefficient

Fundamental Large  Simt Tax-managed

Almost no diversification

The 3 months correlation between Fundamental and Simt is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Fundamental Large Cap and Simt Tax Managed Smallmid in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Simt Tax Managed and Fundamental Large 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 Fundamental Large Cap are associated (or correlated) with Simt Tax-managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Simt Tax Managed has no effect on the direction of Fundamental Large i.e., Fundamental Large and Simt Tax-managed go up and down completely randomly.

Pair Corralation between Fundamental Large and Simt Tax-managed

Assuming the 90 days horizon Fundamental Large Cap is expected to under-perform the Simt Tax-managed. But the mutual fund apears to be less risky and, when comparing its historical volatility, Fundamental Large Cap is 1.05 times less risky than Simt Tax-managed. The mutual fund trades about -0.1 of its potential returns per unit of risk. The Simt Tax Managed Smallmid is currently generating about -0.09 of returns per unit of risk over similar time horizon. If you would invest  2,295  in Simt Tax Managed Smallmid on December 30, 2024 and sell it today you would lose (154.00) from holding Simt Tax Managed Smallmid or give up 6.71% of portfolio value over 90 days.

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

Fundamental Large Cap  vs.  Simt Tax Managed Smallmid

Fundamental Large Cap

Risk-Adjusted Performance

Very Weak

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

Simt Tax Managed

Risk-Adjusted Performance

Very Weak

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

Pair Trading with Fundamental Large and Simt Tax-managed

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

The idea behind Fundamental Large Cap and Simt Tax Managed Smallmid 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.