Correlation Between Satrix Swix and Satrix 40

Can any of the company-specific risk be diversified away by investing in both Satrix Swix and Satrix 40 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 Swix and Satrix 40 into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Satrix Swix Top and Satrix 40 ETF, you can compare the effects of market volatilities on Satrix Swix and Satrix 40 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 Swix with a short position of Satrix 40. Check out your portfolio center. Please also check ongoing floating volatility patterns of Satrix Swix and Satrix 40.

Diversification Opportunities for Satrix Swix and Satrix 40

0.97

Correlation Coefficient

Satrix Swix  Satrix 40

Almost no diversification

The 3 months correlation between Satrix and Satrix is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Satrix Swix Top and Satrix 40 ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Satrix 40 ETF and Satrix Swix 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 Swix Top are associated (or correlated) with Satrix 40. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Satrix 40 ETF has no effect on the direction of Satrix Swix i.e., Satrix Swix and Satrix 40 go up and down completely randomly.

Pair Corralation between Satrix Swix and Satrix 40

Assuming the 90 days trading horizon Satrix Swix Top is expected to under-perform the Satrix 40. In addition to that, Satrix Swix is 1.07 times more volatile than Satrix 40 ETF. It trades about -0.1 of its total potential returns per unit of risk. Satrix 40 ETF is currently generating about -0.06 per unit of volatility. If you would invest  772,000  in Satrix 40 ETF on September 24, 2024 and sell it today you would lose (6,900) from holding Satrix 40 ETF or give up 0.89% of portfolio value over 90 days.

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

Satrix Swix Top  vs.  Satrix 40 ETF

Satrix Swix Top

Risk-Adjusted Performance

0 of 100

Very Weak

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

Satrix 40 ETF

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Satrix 40 ETF has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively steady basic indicators, Satrix 40 is not utilizing all of its potentials. The current stock price chaos, may contribute to medium-term losses for the stakeholders.

Pair Trading with Satrix Swix and Satrix 40

The main advantage of trading using opposite Satrix Swix and Satrix 40 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Satrix Swix position performs unexpectedly, Satrix 40 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 40 will offset losses from the drop in Satrix 40's long position.

The idea behind Satrix Swix Top and Satrix 40 ETF 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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.