Correlation Between Sa Mkt and Sa Us

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

Diversification Opportunities for Sa Mkt and Sa Us

0.95

Correlation Coefficient

Sa Mkt  Sa Us

Almost no diversification

The 3 months correlation between SAMKX and SAUMX is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Sa Mkt Fd 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 Mkt 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 Mkt Fd 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 Mkt i.e., Sa Mkt and Sa Us go up and down completely randomly.

Pair Corralation between Sa Mkt and Sa Us

Assuming the 90 days horizon Sa Mkt is expected to generate 1.37 times less return on investment than Sa Us. But when comparing it to its historical volatility, Sa Mkt Fd is 1.52 times less risky than Sa Us. It trades about 0.2 of its potential returns per unit of risk. Sa Small Company is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  2,838  in Sa Small Company on September 3, 2024 and sell it today you would earn a total of  359.00  from holding Sa Small Company or generate 12.65% return on investment over 90 days.

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

Sa Mkt Fd  vs.  Sa Small Company

Sa Mkt Fd

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Sa Mkt Fd are ranked lower than 15 (%) 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.

Sa Small

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Sa Small Company are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak primary indicators, Sa Us may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Sa Mkt and Sa Us

The main advantage of trading using opposite Sa Mkt and Sa Us positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sa Mkt 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 Mkt Fd 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.

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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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.