Correlation Between Saat Aggressive and Siit Large

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Can any of the company-specific risk be diversified away by investing in both Saat Aggressive and Siit Large 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 Saat Aggressive and Siit Large into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Saat Aggressive Strategy and Siit Large Cap, you can compare the effects of market volatilities on Saat Aggressive and Siit Large 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 Saat Aggressive with a short position of Siit Large. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saat Aggressive and Siit Large.

Diversification Opportunities for Saat Aggressive and Siit Large

0.88
  Correlation Coefficient

Very poor diversification

The 3 months correlation between Saat and Siit is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Saat Aggressive Strategy and Siit Large Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Large Cap and Saat Aggressive 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 Saat Aggressive Strategy are associated (or correlated) with Siit Large. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Large Cap has no effect on the direction of Saat Aggressive i.e., Saat Aggressive and Siit Large go up and down completely randomly.

Pair Corralation between Saat Aggressive and Siit Large

Assuming the 90 days horizon Saat Aggressive is expected to generate 1.89 times less return on investment than Siit Large. But when comparing it to its historical volatility, Saat Aggressive Strategy is 1.66 times less risky than Siit Large. It trades about 0.33 of its potential returns per unit of risk. Siit Large Cap is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest  21,871  in Siit Large Cap on September 6, 2024 and sell it today you would earn a total of  1,306  from holding Siit Large Cap or generate 5.97% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Saat Aggressive Strategy  vs.  Siit Large Cap

 Performance 
       Timeline  
Saat Aggressive Strategy 

Risk-Adjusted Performance

18 of 100

 
Weak
 
Strong
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in Saat Aggressive Strategy are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak fundamental indicators, Saat Aggressive may actually be approaching a critical reversion point that can send shares even higher in January 2025.
Siit Large Cap 

Risk-Adjusted Performance

23 of 100

 
Weak
 
Strong
Solid
Compared to the overall equity markets, risk-adjusted returns on investments in Siit Large Cap are ranked lower than 23 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Siit Large showed solid returns over the last few months and may actually be approaching a breakup point.

Saat Aggressive and Siit Large Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Saat Aggressive and Siit Large

The main advantage of trading using opposite Saat Aggressive and Siit Large positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Saat Aggressive position performs unexpectedly, Siit Large 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 Siit Large will offset losses from the drop in Siit Large's long position.
The idea behind Saat Aggressive Strategy and Siit Large Cap 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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.

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