Correlation Between SG Capital and VGI Public

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

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

Diversification Opportunities for SG Capital and VGI Public

-0.26

Correlation Coefficient

SG Capital  VGI Public

Very good diversification

The 3 months correlation between SGC and VGI is -0.26. Overlapping area represents the amount of risk that can be diversified away by holding SG Capital PCL and VGI Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VGI Public and SG 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 SG Capital PCL are associated (or correlated) with VGI Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VGI Public has no effect on the direction of SG Capital i.e., SG Capital and VGI Public go up and down completely randomly.

Pair Corralation between SG Capital and VGI Public

Assuming the 90 days trading horizon SG Capital PCL is expected to under-perform the VGI Public. But the stock apears to be less risky and, when comparing its historical volatility, SG Capital PCL is 1.52 times less risky than VGI Public. The stock trades about -0.26 of its potential returns per unit of risk. The VGI Public is currently generating about 0.35 of returns per unit of risk over similar time horizon. If you would invest  260.00  in VGI Public on September 25, 2024 and sell it today you would earn a total of  60.00  from holding VGI Public or generate 23.08% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	95.0%
Values	Daily Returns

SG Capital PCL  vs.  VGI Public

SG Capital PCL

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SG Capital PCL has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's fundamental indicators remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

VGI Public

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in VGI Public are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward indicators, VGI Public disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with SG Capital and VGI Public

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

The idea behind SG Capital PCL and VGI Public 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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.