Correlation Between Saat Market and Saat Tax

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

By analyzing existing cross correlation between Saat Market Growth and Saat Tax Managed Aggressive, you can compare the effects of market volatilities on Saat Market and Saat Tax 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 Market with a short position of Saat Tax. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saat Market and Saat Tax.

Diversification Opportunities for Saat Market and Saat Tax

0.99

Correlation Coefficient

Saat Market  Saat Tax

No risk reduction

The 3 months correlation between SAAT and Saat is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Saat Market Growth and Saat Tax Managed Aggressive in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saat Tax Managed and Saat Market 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 Market Growth are associated (or correlated) with Saat Tax. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saat Tax Managed has no effect on the direction of Saat Market i.e., Saat Market and Saat Tax go up and down completely randomly.

Pair Corralation between Saat Market and Saat Tax

Assuming the 90 days horizon Saat Market is expected to generate 1.01 times less return on investment than Saat Tax. In addition to that, Saat Market is 1.0 times more volatile than Saat Tax Managed Aggressive. It trades about 0.14 of its total potential returns per unit of risk. Saat Tax Managed Aggressive is currently generating about 0.14 per unit of volatility. If you would invest  2,544  in Saat Tax Managed Aggressive on December 2, 2024 and sell it today you would earn a total of  86.00  from holding Saat Tax Managed Aggressive or generate 3.38% return on investment over 90 days.

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

Saat Market Growth  vs.  Saat Tax Managed Aggressive

Saat Market Growth

Risk-Adjusted Performance

Very Weak

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

Saat Tax Managed

Risk-Adjusted Performance

Very Weak

Over the last 90 days Saat Tax Managed Aggressive has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Saat Tax 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 Market and Saat Tax

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

The idea behind Saat Market Growth and Saat Tax Managed Aggressive 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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.