Correlation Between Siit Equity and Dreyfus International

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

By analyzing existing cross correlation between Siit Equity Factor and Dreyfus International Equity, you can compare the effects of market volatilities on Siit Equity and Dreyfus International 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 Siit Equity with a short position of Dreyfus International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siit Equity and Dreyfus International.

Diversification Opportunities for Siit Equity and Dreyfus International

0.41

Correlation Coefficient

Siit Equity  Dreyfus International

Very weak diversification

The 3 months correlation between Siit and Dreyfus is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding Siit Equity Factor and Dreyfus International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dreyfus International and Siit Equity 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 Siit Equity Factor are associated (or correlated) with Dreyfus International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dreyfus International has no effect on the direction of Siit Equity i.e., Siit Equity and Dreyfus International go up and down completely randomly.

Pair Corralation between Siit Equity and Dreyfus International

Assuming the 90 days horizon Siit Equity Factor is expected to under-perform the Dreyfus International. In addition to that, Siit Equity is 1.71 times more volatile than Dreyfus International Equity. It trades about -0.02 of its total potential returns per unit of risk. Dreyfus International Equity is currently generating about -0.01 per unit of volatility. If you would invest  3,850  in Dreyfus International Equity on October 23, 2024 and sell it today you would lose (34.00) from holding Dreyfus International Equity or give up 0.88% of portfolio value over 90 days.

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

Siit Equity Factor  vs.  Dreyfus International Equity

Siit Equity Factor

Risk-Adjusted Performance

0 of 100

Very Weak

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

Dreyfus International

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Siit Equity and Dreyfus International

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

The idea behind Siit Equity Factor and Dreyfus International Equity 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.