Correlation Between Sa International and Sa Value

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

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

Diversification Opportunities for Sa International and Sa Value

0.37

Correlation Coefficient

Sa International  Sa Value

Weak diversification

The 3 months correlation between SAISX and SABTX is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Sa International Small and Sa Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sa Value 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 Small are associated (or correlated) with Sa Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sa Value has no effect on the direction of Sa International i.e., Sa International and Sa Value go up and down completely randomly.

Pair Corralation between Sa International and Sa Value

Assuming the 90 days horizon Sa International Small is expected to generate 1.07 times more return on investment than Sa Value. However, Sa International is 1.07 times more volatile than Sa Value. It trades about 0.14 of its potential returns per unit of risk. Sa Value is currently generating about 0.08 per unit of risk. If you would invest  1,987  in Sa International Small on December 28, 2024 and sell it today you would earn a total of  150.00  from holding Sa International Small or generate 7.55% return on investment over 90 days.

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

Sa International Small  vs.  Sa Value

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 11 (%) 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.

Sa Value

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Sa Value are ranked lower than 6 (%) 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.

Pair Trading with Sa International and Sa Value

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

The idea behind Sa International Small and Sa Value 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.