Correlation Between Saat Moderate and Us Government

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

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

Diversification Opportunities for Saat Moderate and Us Government

0.28

Correlation Coefficient

Saat Moderate  Us Government

Modest diversification

The 3 months correlation between Saat and GVPIX is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Saat Moderate Strategy and Us Government Plus in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Us Government Plus and Saat Moderate 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 Moderate Strategy are associated (or correlated) with Us Government. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Us Government Plus has no effect on the direction of Saat Moderate i.e., Saat Moderate and Us Government go up and down completely randomly.

Pair Corralation between Saat Moderate and Us Government

Assuming the 90 days horizon Saat Moderate Strategy is expected to generate 0.23 times more return on investment than Us Government. However, Saat Moderate Strategy is 4.38 times less risky than Us Government. It trades about 0.06 of its potential returns per unit of risk. Us Government Plus is currently generating about -0.06 per unit of risk. If you would invest  1,177  in Saat Moderate Strategy on August 30, 2024 and sell it today you would earn a total of  11.00  from holding Saat Moderate Strategy or generate 0.93% return on investment over 90 days.

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

Saat Moderate Strategy  vs.  Us Government Plus

Saat Moderate Strategy

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Saat Moderate Strategy are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Saat Moderate is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Us Government Plus

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Us Government Plus has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong forward indicators, Us Government 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 Moderate and Us Government

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

The idea behind Saat Moderate Strategy and Us Government Plus 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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.