Correlation Between Satrix MSCI and Satrix MSCI

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

By analyzing existing cross correlation between Satrix MSCI EM and Satrix MSCI World, you can compare the effects of market volatilities on Satrix MSCI 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 MSCI with a short position of Satrix MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Satrix MSCI and Satrix MSCI.

Diversification Opportunities for Satrix MSCI and Satrix MSCI

0.74

Correlation Coefficient

Satrix MSCI  Satrix MSCI

Poor diversification

The 3 months correlation between Satrix and Satrix is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Satrix MSCI EM and Satrix MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Satrix MSCI World and Satrix MSCI 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 MSCI EM 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 World has no effect on the direction of Satrix MSCI i.e., Satrix MSCI and Satrix MSCI go up and down completely randomly.

Pair Corralation between Satrix MSCI and Satrix MSCI

Assuming the 90 days trading horizon Satrix MSCI EM is expected to generate 1.13 times more return on investment than Satrix MSCI. However, Satrix MSCI is 1.13 times more volatile than Satrix MSCI World. It trades about 0.05 of its potential returns per unit of risk. Satrix MSCI World is currently generating about 0.0 per unit of risk. If you would invest  527,200  in Satrix MSCI EM on December 2, 2024 and sell it today you would earn a total of  12,200  from holding Satrix MSCI EM or generate 2.31% return on investment over 90 days.

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

Satrix MSCI EM  vs.  Satrix MSCI World

Satrix MSCI EM

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Satrix MSCI EM are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong technical and fundamental indicators, Satrix MSCI is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Satrix MSCI World

Risk-Adjusted Performance

Very Weak

Over the last 90 days Satrix MSCI World has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Satrix MSCI is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Satrix MSCI and Satrix MSCI

The main advantage of trading using opposite Satrix MSCI and Satrix MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Satrix MSCI 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.

The idea behind Satrix MSCI EM and Satrix MSCI World 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.