Correlation Between Siit Large and Value Fund

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

By analyzing existing cross correlation between Siit Large Cap and Value Fund R6, you can compare the effects of market volatilities on Siit Large and Value Fund 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 Siit Large with a short position of Value Fund. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siit Large and Value Fund.

Diversification Opportunities for Siit Large and Value Fund

0.9

Correlation Coefficient

Siit Large  Value Fund

Almost no diversification

The 3 months correlation between Siit and Value is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Siit Large Cap and Value Fund R6 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Value Fund R6 and Siit 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 Siit Large Cap are associated (or correlated) with Value Fund. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Value Fund R6 has no effect on the direction of Siit Large i.e., Siit Large and Value Fund go up and down completely randomly.

Pair Corralation between Siit Large and Value Fund

Assuming the 90 days horizon Siit Large Cap is expected to under-perform the Value Fund. In addition to that, Siit Large is 1.61 times more volatile than Value Fund R6. It trades about -0.21 of its total potential returns per unit of risk. Value Fund R6 is currently generating about -0.28 per unit of volatility. If you would invest  876.00  in Value Fund R6 on October 10, 2024 and sell it today you would lose (101.00) from holding Value Fund R6 or give up 11.53% of portfolio value over 90 days.

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

Siit Large Cap  vs.  Value Fund R6

Siit Large Cap

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Siit 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.

Value Fund R6

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Value Fund R6 has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest conflicting performance, the Fund's fundamental 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 Siit Large and Value Fund

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

The idea behind Siit Large Cap and Value Fund R6 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.