Correlation Between Sa International and Sa Us

Can any of the company-specific risk be diversified away by investing in both Sa International and Sa Us 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 Us 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 Small Company, you can compare the effects of market volatilities on Sa International and Sa Us 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 Us. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sa International and Sa Us.

Diversification Opportunities for Sa International and Sa Us

-0.62

Correlation Coefficient

Sa International  Sa Us

Excellent diversification

The 3 months correlation between SAHMX and SAUMX is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding Sa International Value and Sa Small Company in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sa Small 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 Us. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sa Small has no effect on the direction of Sa International i.e., Sa International and Sa Us go up and down completely randomly.

Pair Corralation between Sa International and Sa Us

Assuming the 90 days horizon Sa International Value is expected to generate 0.77 times more return on investment than Sa Us. However, Sa International Value is 1.3 times less risky than Sa Us. It trades about 0.26 of its potential returns per unit of risk. Sa Small Company is currently generating about -0.08 per unit of risk. If you would invest  1,281  in Sa International Value on December 28, 2024 and sell it today you would earn a total of  171.00  from holding Sa International Value or generate 13.35% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	98.36%
Values	Daily Returns

Sa International Value  vs.  Sa Small Company

Sa International Value

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Sa International Value are ranked lower than 20 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak primary indicators, Sa International showed solid returns over the last few months and may actually be approaching a breakup point.

Sa Small

Risk-Adjusted Performance

Very Weak

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

Pair Trading with Sa International and Sa Us

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

The idea behind Sa International Value and Sa Small Company 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.

Check out your portfolio center.

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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.