Correlation Between Siit Small and Siit Limited

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

By analyzing existing cross correlation between Siit Small Cap and Siit Limited Duration, you can compare the effects of market volatilities on Siit Small and Siit Limited 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 Small with a short position of Siit Limited. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siit Small and Siit Limited.

Diversification Opportunities for Siit Small and Siit Limited

-0.37

Correlation Coefficient

Siit Small  Siit Limited

Very good diversification

The 3 months correlation between Siit and Siit is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Siit Small Cap and Siit Limited Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Limited Duration and Siit Small 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 Small Cap are associated (or correlated) with Siit Limited. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Limited Duration has no effect on the direction of Siit Small i.e., Siit Small and Siit Limited go up and down completely randomly.

Pair Corralation between Siit Small and Siit Limited

Assuming the 90 days horizon Siit Small Cap is expected to generate 9.14 times more return on investment than Siit Limited. However, Siit Small is 9.14 times more volatile than Siit Limited Duration. It trades about 0.15 of its potential returns per unit of risk. Siit Limited Duration is currently generating about -0.01 per unit of risk. If you would invest  1,150  in Siit Small Cap on September 12, 2024 and sell it today you would earn a total of  127.00  from holding Siit Small Cap or generate 11.04% return on investment over 90 days.

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

Siit Small Cap  vs.  Siit Limited Duration

Siit Small Cap

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Siit Small Cap are ranked lower than 11 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Siit Small may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Siit Limited Duration

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Siit Small and Siit Limited

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

The idea behind Siit Small Cap and Siit Limited Duration 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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.