Correlation Between Sa Us and Sa Value

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

Diversification Opportunities for Sa Us and Sa Value

0.47

Correlation Coefficient

Sa Us  Sa Value

Very weak diversification

The 3 months correlation between SAUMX and SABTX is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Sa Small Company and Sa Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sa Value and Sa Us 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 Small Company 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 Us i.e., Sa Us and Sa Value go up and down completely randomly.

Pair Corralation between Sa Us and Sa Value

Assuming the 90 days horizon Sa Small Company is expected to under-perform the Sa Value. In addition to that, Sa Us is 1.32 times more volatile than Sa Value. It trades about -0.08 of its total potential returns per unit of risk. Sa Value is currently generating about 0.08 per unit of volatility. If you would invest  2,164  in Sa Value on December 28, 2024 and sell it today you would earn a total of  86.00  from holding Sa Value or generate 3.97% return on investment over 90 days.

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

Sa Small Company  vs.  Sa Value

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.

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 Us and Sa Value

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

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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.