Correlation Between Satrix 40 and Satrix MSCI
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By analyzing existing cross correlation between Satrix 40 ETF and Satrix MSCI EM, you can compare the effects of market volatilities on Satrix 40 and Satrix MSCI 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 Satrix 40 with a short position of Satrix MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Satrix 40 and Satrix MSCI.
Diversification Opportunities for Satrix 40 and Satrix MSCI
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Satrix and Satrix is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Satrix 40 ETF and Satrix MSCI EM in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Satrix MSCI EM and Satrix 40 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 Satrix 40 ETF are associated (or correlated) with Satrix MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Satrix MSCI EM has no effect on the direction of Satrix 40 i.e., Satrix 40 and Satrix MSCI go up and down completely randomly.
Pair Corralation between Satrix 40 and Satrix MSCI
Assuming the 90 days trading horizon Satrix 40 ETF is expected to under-perform the Satrix MSCI. But the etf apears to be less risky and, when comparing its historical volatility, Satrix 40 ETF is 1.24 times less risky than Satrix MSCI. The etf trades about -0.06 of its potential returns per unit of risk. The Satrix MSCI EM is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 522,600 in Satrix MSCI EM on September 24, 2024 and sell it today you would lose (1,000.00) from holding Satrix MSCI EM or give up 0.19% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Satrix 40 ETF vs. Satrix MSCI EM
Performance |
Timeline |
Satrix 40 ETF |
Satrix MSCI EM |
Satrix 40 and Satrix MSCI Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Satrix 40 and Satrix MSCI
The main advantage of trading using opposite Satrix 40 and Satrix MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Satrix 40 position performs unexpectedly, Satrix MSCI 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 Satrix MSCI will offset losses from the drop in Satrix MSCI's long position.Satrix 40 vs. Satrix MSCI World | Satrix 40 vs. Satrix Swix Top | Satrix 40 vs. Satrix MSCI EM | Satrix 40 vs. Satrix Resi ETF |
Satrix MSCI vs. CoreShares TotalWldStock ETF | Satrix MSCI vs. Satrix 40 ETF | Satrix MSCI vs. Indexco Limited | Satrix MSCI vs. Coreshares Index Tracker |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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