Correlation Between Simt Real and Siit Small

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

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

Diversification Opportunities for Simt Real and Siit Small

-0.23

Correlation Coefficient

Simt Real  Siit Small

Very good diversification

The 3 months correlation between Simt and Siit is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding Simt Real Return and Siit Small Cap in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siit Small Cap and Simt Real 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 Simt Real Return are associated (or correlated) with Siit Small. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siit Small Cap has no effect on the direction of Simt Real i.e., Simt Real and Siit Small go up and down completely randomly.

Pair Corralation between Simt Real and Siit Small

Assuming the 90 days horizon Simt Real Return is expected to under-perform the Siit Small. But the mutual fund apears to be less risky and, when comparing its historical volatility, Simt Real Return is 7.92 times less risky than Siit Small. The mutual fund trades about -0.03 of its potential returns per unit of risk. The Siit Small Cap is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  1,398  in Siit Small Cap on September 14, 2024 and sell it today you would earn a total of  109.00  from holding Siit Small Cap or generate 7.8% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.44%
Values	Daily Returns

Simt Real Return  vs.  Siit Small Cap

Simt Real Return

Risk-Adjusted Performance

0 of 100

Very Weak

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

Siit Small Cap

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Siit Small Cap are ranked lower than 8 (%) 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.

Pair Trading with Simt Real and Siit Small

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

The idea behind Simt Real Return and Siit Small Cap 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.