Correlation Between Saba Capital and PENSKE

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

By analyzing existing cross correlation between Saba Capital Income and PENSKE AUTOMOTIVE GROUP, you can compare the effects of market volatilities on Saba Capital and PENSKE 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 Saba Capital with a short position of PENSKE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Saba Capital and PENSKE.

Diversification Opportunities for Saba Capital and PENSKE

-0.65

Correlation Coefficient

Saba Capital  PENSKE

Excellent diversification

The 3 months correlation between Saba and PENSKE is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Saba Capital Income and PENSKE AUTOMOTIVE GROUP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PENSKE AUTOMOTIVE and Saba Capital 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 Saba Capital Income are associated (or correlated) with PENSKE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PENSKE AUTOMOTIVE has no effect on the direction of Saba Capital i.e., Saba Capital and PENSKE go up and down completely randomly.

Pair Corralation between Saba Capital and PENSKE

Given the investment horizon of 90 days Saba Capital Income is expected to generate 2.47 times more return on investment than PENSKE. However, Saba Capital is 2.47 times more volatile than PENSKE AUTOMOTIVE GROUP. It trades about 0.05 of its potential returns per unit of risk. PENSKE AUTOMOTIVE GROUP is currently generating about 0.02 per unit of risk. If you would invest  719.00  in Saba Capital Income on September 24, 2024 and sell it today you would earn a total of  156.00  from holding Saba Capital Income or generate 21.7% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	99.4%
Values	Daily Returns

Saba Capital Income  vs.  PENSKE AUTOMOTIVE GROUP

Saba Capital Income

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Saba Capital Income are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite somewhat inconsistent fundamental drivers, Saba Capital may actually be approaching a critical reversion point that can send shares even higher in January 2025.

PENSKE AUTOMOTIVE

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PENSKE AUTOMOTIVE GROUP has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, PENSKE is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Saba Capital and PENSKE

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

The idea behind Saba Capital Income and PENSKE AUTOMOTIVE GROUP 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.