Correlation Between Sa International and Sa Mkt

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

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

Diversification Opportunities for Sa International and Sa Mkt

-0.47

Correlation Coefficient

Sa International  Sa Mkt

Very good diversification

The 3 months correlation between SAHMX and SAMKX is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Sa International Value and Sa Mkt Fd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sa Mkt Fd and Sa International 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 International Value are associated (or correlated) with Sa Mkt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sa Mkt Fd has no effect on the direction of Sa International i.e., Sa International and Sa Mkt go up and down completely randomly.

Pair Corralation between Sa International and Sa Mkt

Assuming the 90 days horizon Sa International Value is expected to generate 1.03 times more return on investment than Sa Mkt. However, Sa International is 1.03 times more volatile than Sa Mkt Fd. It trades about 0.13 of its potential returns per unit of risk. Sa Mkt Fd is currently generating about 0.12 per unit of risk. If you would invest  1,343  in Sa International Value on September 13, 2024 and sell it today you would earn a total of  21.00  from holding Sa International Value or generate 1.56% return on investment over 90 days.

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

Sa International Value  vs.  Sa Mkt Fd

Sa International Value

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sa International Value has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong primary indicators, Sa International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Sa Mkt Fd

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Sa Mkt Fd are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak forward-looking signals, Sa Mkt may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Sa International and Sa Mkt

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

The idea behind Sa International Value and Sa Mkt Fd 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.