Correlation Between Saba Capital and Innovator

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

By analyzing existing cross correlation between Saba Capital Income and Innovator SP 500, you can compare the effects of market volatilities on Saba Capital and Innovator 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 Saba Capital with a short position of Innovator. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saba Capital and Innovator.

Diversification Opportunities for Saba Capital and Innovator

0.69

Correlation Coefficient

Saba Capital  Innovator

Poor diversification

The 3 months correlation between Saba and Innovator is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Saba Capital Income and Innovator SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Innovator SP 500 and Saba Capital 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 Saba Capital Income are associated (or correlated) with Innovator. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Innovator SP 500 has no effect on the direction of Saba Capital i.e., Saba Capital and Innovator go up and down completely randomly.

Pair Corralation between Saba Capital and Innovator

If you would invest  3,289  in Innovator SP 500 on September 26, 2024 and sell it today you would earn a total of  1,495  from holding Innovator SP 500 or generate 45.45% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	0.2%
Values	Daily Returns

Saba Capital Income  vs.  Innovator SP 500

Saba Capital Income

Risk-Adjusted Performance

0 of 100

Good

Over the last 90 days Saba Capital Income has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat weak fundamental drivers, Saba Capital may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Innovator SP 500

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Innovator SP 500 are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy basic indicators, Innovator is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Saba Capital and Innovator

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

The idea behind Saba Capital Income and Innovator SP 500 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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.