Correlation Between Saat Tax-managed and Sit Emerging

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

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

Diversification Opportunities for Saat Tax-managed and Sit Emerging

0.63

Correlation Coefficient

Saat Tax-managed  Sit Emerging

Poor diversification

The 3 months correlation between Saat and Sit is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Saat Tax Managed Aggressive and Sit Emerging Markets in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sit Emerging Markets and Saat Tax-managed 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 Tax Managed Aggressive are associated (or correlated) with Sit Emerging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sit Emerging Markets has no effect on the direction of Saat Tax-managed i.e., Saat Tax-managed and Sit Emerging go up and down completely randomly.

Pair Corralation between Saat Tax-managed and Sit Emerging

Assuming the 90 days horizon Saat Tax Managed Aggressive is expected to under-perform the Sit Emerging. In addition to that, Saat Tax-managed is 2.14 times more volatile than Sit Emerging Markets. It trades about -0.08 of its total potential returns per unit of risk. Sit Emerging Markets is currently generating about -0.17 per unit of volatility. If you would invest  886.00  in Sit Emerging Markets on October 8, 2024 and sell it today you would lose (38.00) from holding Sit Emerging Markets or give up 4.29% of portfolio value over 90 days.

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

Saat Tax Managed Aggressive  vs.  Sit Emerging Markets

Saat Tax Managed

Risk-Adjusted Performance

0 of 100

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-managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Sit Emerging Markets

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sit Emerging Markets has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, Sit Emerging 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 Tax-managed and Sit Emerging

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

The idea behind Saat Tax Managed Aggressive and Sit Emerging Markets 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.