Correlation Between Saat Aggressive and Sit International
Can any of the company-specific risk be diversified away by investing in both Saat Aggressive and Sit International 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 Saat Aggressive and Sit International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Saat Aggressive Strategy and Sit International Equity, you can compare the effects of market volatilities on Saat Aggressive and Sit International 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 Saat Aggressive with a short position of Sit International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saat Aggressive and Sit International.
Diversification Opportunities for Saat Aggressive and Sit International
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Saat and Sit is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Saat Aggressive Strategy and Sit International Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sit International Equity and Saat Aggressive 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 Saat Aggressive Strategy are associated (or correlated) with Sit International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sit International Equity has no effect on the direction of Saat Aggressive i.e., Saat Aggressive and Sit International go up and down completely randomly.
Pair Corralation between Saat Aggressive and Sit International
Assuming the 90 days horizon Saat Aggressive Strategy is expected to under-perform the Sit International. But the mutual fund apears to be less risky and, when comparing its historical volatility, Saat Aggressive Strategy is 1.14 times less risky than Sit International. The mutual fund trades about -0.02 of its potential returns per unit of risk. The Sit International Equity is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 1,211 in Sit International Equity on February 7, 2024 and sell it today you would lose (3.00) from holding Sit International Equity or give up 0.25% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Saat Aggressive Strategy vs. Sit International Equity
Performance |
Timeline |
Saat Aggressive Strategy |
Sit International Equity |
Saat Aggressive and Sit International Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Saat Aggressive and Sit International
The main advantage of trading using opposite Saat Aggressive and Sit International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Saat Aggressive position performs unexpectedly, Sit International 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 Sit International will offset losses from the drop in Sit International's long position.Saat Aggressive vs. Federated Global Allocation | Saat Aggressive vs. Simt Sp 500 | Saat Aggressive vs. Simt Large Cap | Saat Aggressive vs. Sentinel Balanced Fund |
Sit International vs. Sit Emerging Markets | Sit International vs. Simt E Fixed | Sit International vs. Simt Multi Asset Income | Sit International vs. Simt Global Managed |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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