Correlation Between SGI Dynamic and MFUT

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

By analyzing existing cross correlation between SGI Dynamic Tactical and MFUT, you can compare the effects of market volatilities on SGI Dynamic and MFUT 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 SGI Dynamic with a short position of MFUT. Check out your portfolio center. Please also check ongoing floating volatility patterns of SGI Dynamic and MFUT.

Diversification Opportunities for SGI Dynamic and MFUT

-0.49

Correlation Coefficient

SGI Dynamic  MFUT

Very good diversification

The 3 months correlation between SGI and MFUT is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding SGI Dynamic Tactical and MFUT in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MFUT and SGI Dynamic 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 SGI Dynamic Tactical are associated (or correlated) with MFUT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MFUT has no effect on the direction of SGI Dynamic i.e., SGI Dynamic and MFUT go up and down completely randomly.

Pair Corralation between SGI Dynamic and MFUT

Given the investment horizon of 90 days SGI Dynamic Tactical is expected to generate 0.98 times more return on investment than MFUT. However, SGI Dynamic Tactical is 1.02 times less risky than MFUT. It trades about 0.12 of its potential returns per unit of risk. MFUT is currently generating about -0.14 per unit of risk. If you would invest  3,054  in SGI Dynamic Tactical on September 13, 2024 and sell it today you would earn a total of  142.00  from holding SGI Dynamic Tactical or generate 4.65% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

SGI Dynamic Tactical  vs.  MFUT

SGI Dynamic Tactical

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in SGI Dynamic Tactical are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, SGI Dynamic is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

MFUT

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days MFUT has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, MFUT is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with SGI Dynamic and MFUT

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

The idea behind SGI Dynamic Tactical and MFUT 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.