Correlation Between Siit Multi and Siit Equity

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

By analyzing existing cross correlation between Siit Multi Asset Real and Siit Equity Factor, you can compare the effects of market volatilities on Siit Multi and Siit Equity 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 Siit Multi with a short position of Siit Equity. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siit Multi and Siit Equity.

Diversification Opportunities for Siit Multi and Siit Equity

-0.28

Correlation Coefficient

Siit Multi  Siit Equity

Very good diversification

The 3 months correlation between Siit and Siit is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Siit Multi Asset Real and Siit Equity Factor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Equity Factor and Siit Multi 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 Siit Multi Asset Real are associated (or correlated) with Siit Equity. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Equity Factor has no effect on the direction of Siit Multi i.e., Siit Multi and Siit Equity go up and down completely randomly.

Pair Corralation between Siit Multi and Siit Equity

Assuming the 90 days horizon Siit Multi Asset Real is expected to under-perform the Siit Equity. But the mutual fund apears to be less risky and, when comparing its historical volatility, Siit Multi Asset Real is 2.83 times less risky than Siit Equity. The mutual fund trades about -0.07 of its potential returns per unit of risk. The Siit Equity Factor is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  1,532  in Siit Equity Factor on September 13, 2024 and sell it today you would earn a total of  70.00  from holding Siit Equity Factor or generate 4.57% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Siit Multi Asset Real  vs.  Siit Equity Factor

Siit Multi Asset

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Siit Multi Asset Real has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Siit Multi is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Siit Equity Factor

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Siit Equity Factor are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Siit Equity may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Siit Multi and Siit Equity

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

The idea behind Siit Multi Asset Real and Siit Equity Factor 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.

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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.