Correlation Between Satrix MSCI and Satrix Indi

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

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

Diversification Opportunities for Satrix MSCI and Satrix Indi

0.27

Correlation Coefficient

Satrix MSCI  Satrix Indi

Modest diversification

The 3 months correlation between Satrix and Satrix is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Satrix MSCI World and Satrix Indi ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Satrix Indi ETF 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 World are associated (or correlated) with Satrix Indi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Satrix Indi ETF has no effect on the direction of Satrix MSCI i.e., Satrix MSCI and Satrix Indi go up and down completely randomly.

Pair Corralation between Satrix MSCI and Satrix Indi

Assuming the 90 days trading horizon Satrix MSCI is expected to generate 1.49 times less return on investment than Satrix Indi. In addition to that, Satrix MSCI is 1.05 times more volatile than Satrix Indi ETF. It trades about 0.11 of its total potential returns per unit of risk. Satrix Indi ETF is currently generating about 0.18 per unit of volatility. If you would invest  1,104,371  in Satrix Indi ETF on September 17, 2024 and sell it today you would earn a total of  104,229  from holding Satrix Indi ETF or generate 9.44% return on investment over 90 days.

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

Satrix MSCI World  vs.  Satrix Indi ETF

Satrix MSCI World

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Satrix MSCI World are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. 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.

Satrix Indi ETF

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Satrix Indi ETF are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak forward indicators, Satrix Indi may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Satrix MSCI and Satrix Indi

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

The idea behind Satrix MSCI World and Satrix Indi 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.