Correlation Between Sa Value and Sa International

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

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

Diversification Opportunities for Sa Value and Sa International

0.27

Correlation Coefficient

Sa Value  Sa International

Modest diversification

The 3 months correlation between SABTX and SAISX is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Sa Value and Sa International Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sa International Small and Sa Value 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 Sa Value are associated (or correlated) with Sa International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sa International Small has no effect on the direction of Sa Value i.e., Sa Value and Sa International go up and down completely randomly.

Pair Corralation between Sa Value and Sa International

Assuming the 90 days horizon Sa Value is expected to generate 2.77 times less return on investment than Sa International. But when comparing it to its historical volatility, Sa Value is 1.04 times less risky than Sa International. It trades about 0.06 of its potential returns per unit of risk. Sa International Small is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  1,989  in Sa International Small on December 25, 2024 and sell it today you would earn a total of  161.00  from holding Sa International Small or generate 8.09% return on investment over 90 days.

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

Sa Value  vs.  Sa International Small

Sa Value

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Sa Value are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Sa Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Sa International Small

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Sa International Small are ranked lower than 12 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Sa International may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Sa Value and Sa International

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

The idea behind Sa Value and Sa International Small 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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.