Correlation Between Sarfati and Delek

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

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

Diversification Opportunities for Sarfati and Delek

0.94

Correlation Coefficient

Sarfati  Delek

Almost no diversification

The 3 months correlation between Sarfati and Delek is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Sarfati and Delek Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Delek Group and Sarfati 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 Sarfati are associated (or correlated) with Delek. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Delek Group has no effect on the direction of Sarfati i.e., Sarfati and Delek go up and down completely randomly.

Pair Corralation between Sarfati and Delek

Assuming the 90 days trading horizon Sarfati is expected to generate 1.1 times more return on investment than Delek. However, Sarfati is 1.1 times more volatile than Delek Group. It trades about 0.24 of its potential returns per unit of risk. Delek Group is currently generating about 0.15 per unit of risk. If you would invest  349,800  in Sarfati on September 29, 2024 and sell it today you would earn a total of  69,500  from holding Sarfati or generate 19.87% return on investment over 90 days.

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

Sarfati  vs.  Delek Group

Sarfati

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Sarfati are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Sarfati sustained solid returns over the last few months and may actually be approaching a breakup point.

Delek Group

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Delek Group are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Delek unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Sarfati and Delek

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

The idea behind Sarfati and Delek 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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.