Correlation Between Saat Defensive and Janus Overseas

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

By analyzing existing cross correlation between Saat Defensive Strategy and Janus Overseas Fund, you can compare the effects of market volatilities on Saat Defensive and Janus Overseas 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 Defensive with a short position of Janus Overseas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saat Defensive and Janus Overseas.

Diversification Opportunities for Saat Defensive and Janus Overseas

0.48

Correlation Coefficient

Saat Defensive  Janus Overseas

Very weak diversification

The 3 months correlation between Saat and Janus is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Saat Defensive Strategy and Janus Overseas Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Janus Overseas and Saat Defensive 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 Defensive Strategy are associated (or correlated) with Janus Overseas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Janus Overseas has no effect on the direction of Saat Defensive i.e., Saat Defensive and Janus Overseas go up and down completely randomly.

Pair Corralation between Saat Defensive and Janus Overseas

Assuming the 90 days horizon Saat Defensive Strategy is expected to under-perform the Janus Overseas. But the mutual fund apears to be less risky and, when comparing its historical volatility, Saat Defensive Strategy is 1.51 times less risky than Janus Overseas. The mutual fund trades about -0.28 of its potential returns per unit of risk. The Janus Overseas Fund is currently generating about -0.17 of returns per unit of risk over similar time horizon. If you would invest  4,694  in Janus Overseas Fund on October 9, 2024 and sell it today you would lose (115.00) from holding Janus Overseas Fund or give up 2.45% of portfolio value over 90 days.

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

Saat Defensive Strategy  vs.  Janus Overseas Fund

Saat Defensive Strategy

Risk-Adjusted Performance

0 of 100

Very Weak

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

Janus Overseas

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Saat Defensive and Janus Overseas

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

The idea behind Saat Defensive Strategy and Janus Overseas Fund 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.