Correlation Between Schwab Value and Siit Global

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

By analyzing existing cross correlation between Schwab Value Advantage and Siit Global Managed, you can compare the effects of market volatilities on Schwab Value and Siit Global 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 Schwab Value with a short position of Siit Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Schwab Value and Siit Global.

Diversification Opportunities for Schwab Value and Siit Global

-0.02

Correlation Coefficient

Schwab Value  Siit Global

Good diversification

The 3 months correlation between Schwab and Siit is -0.02. Overlapping area represents the amount of risk that can be diversified away by holding Schwab Value Advantage and Siit Global Managed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Global Managed and Schwab Value 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 Schwab Value Advantage are associated (or correlated) with Siit Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Global Managed has no effect on the direction of Schwab Value i.e., Schwab Value and Siit Global go up and down completely randomly.

Pair Corralation between Schwab Value and Siit Global

Assuming the 90 days horizon Schwab Value is expected to generate 1.28 times less return on investment than Siit Global. But when comparing it to its historical volatility, Schwab Value Advantage is 3.44 times less risky than Siit Global. It trades about 0.1 of its potential returns per unit of risk. Siit Global Managed is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  1,029  in Siit Global Managed on September 26, 2024 and sell it today you would earn a total of  118.00  from holding Siit Global Managed or generate 11.47% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.22%
Values	Daily Returns

Schwab Value Advantage  vs.  Siit Global Managed

Schwab Value Advantage

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Schwab Value Advantage are ranked lower than 9 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Schwab Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Siit Global Managed

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Siit Global Managed has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Pair Trading with Schwab Value and Siit Global

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

The idea behind Schwab Value Advantage and Siit Global Managed 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 Transaction History module to view history of all your transactions and understand their impact on performance.