Correlation Between Simt Sp and Simt E
Can any of the company-specific risk be diversified away by investing in both Simt Sp and Simt E 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 Simt Sp and Simt E into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Simt Sp 500 and Simt E Fixed, you can compare the effects of market volatilities on Simt Sp and Simt E 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 Simt Sp with a short position of Simt E. Check out your portfolio center. Please also check ongoing floating volatility patterns of Simt Sp and Simt E.
Diversification Opportunities for Simt Sp and Simt E
Very weak diversification
The 3 months correlation between Simt and Simt is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Simt Sp 500 and Simt E Fixed in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Simt E Fixed and Simt Sp 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 Simt Sp 500 are associated (or correlated) with Simt E. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Simt E Fixed has no effect on the direction of Simt Sp i.e., Simt Sp and Simt E go up and down completely randomly.
Pair Corralation between Simt Sp and Simt E
Assuming the 90 days horizon Simt Sp 500 is expected to generate 1.96 times more return on investment than Simt E. However, Simt Sp is 1.96 times more volatile than Simt E Fixed. It trades about 0.15 of its potential returns per unit of risk. Simt E Fixed is currently generating about 0.02 per unit of risk. If you would invest 8,863 in Simt Sp 500 on February 19, 2024 and sell it today you would earn a total of 611.00 from holding Simt Sp 500 or generate 6.89% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Simt Sp 500 vs. Simt E Fixed
Performance |
Timeline |
Simt Sp 500 |
Simt E Fixed |
Simt Sp and Simt E Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Simt Sp and Simt E
The main advantage of trading using opposite Simt Sp and Simt E positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Simt Sp position performs unexpectedly, Simt E 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 Simt E will offset losses from the drop in Simt E's long position.Simt Sp vs. Wcm Focused International | Simt Sp vs. Artisan International Value | Simt Sp vs. Wilmington Large Cap Strategy | Simt Sp vs. Harbor Small Cap |
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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 CEOs Directory module to screen CEOs from public companies around the world.
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