Correlation Between Sprott Physical and Senvest Capital

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

By analyzing existing cross correlation between Sprott Physical Gold and Senvest Capital, you can compare the effects of market volatilities on Sprott Physical and Senvest Capital 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 Sprott Physical with a short position of Senvest Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sprott Physical and Senvest Capital.

Diversification Opportunities for Sprott Physical and Senvest Capital

0.03

Correlation Coefficient

Sprott Physical  Senvest Capital

Significant diversification

The 3 months correlation between Sprott and Senvest is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Sprott Physical Gold and Senvest Capital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Senvest Capital and Sprott Physical 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 Sprott Physical Gold are associated (or correlated) with Senvest Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Senvest Capital has no effect on the direction of Sprott Physical i.e., Sprott Physical and Senvest Capital go up and down completely randomly.

Pair Corralation between Sprott Physical and Senvest Capital

Assuming the 90 days trading horizon Sprott Physical Gold is expected to generate 1.82 times more return on investment than Senvest Capital. However, Sprott Physical is 1.82 times more volatile than Senvest Capital. It trades about 0.15 of its potential returns per unit of risk. Senvest Capital is currently generating about 0.13 per unit of risk. If you would invest  2,688  in Sprott Physical Gold on September 12, 2024 and sell it today you would earn a total of  253.00  from holding Sprott Physical Gold or generate 9.41% return on investment over 90 days.

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

Sprott Physical Gold  vs.  Senvest Capital

Sprott Physical Gold

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Sprott Physical Gold are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, Sprott Physical may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Senvest Capital

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Senvest Capital are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of very healthy fundamental indicators, Senvest Capital is not utilizing all of its potentials. The recent stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with Sprott Physical and Senvest Capital

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

The idea behind Sprott Physical Gold and Senvest Capital 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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.