Correlation Between Satrix MSCI and Coreshares Index

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

By analyzing existing cross correlation between Satrix MSCI World and Coreshares Index Tracker, you can compare the effects of market volatilities on Satrix MSCI and Coreshares Index 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 Satrix MSCI with a short position of Coreshares Index. Check out your portfolio center. Please also check ongoing floating volatility patterns of Satrix MSCI and Coreshares Index.

Diversification Opportunities for Satrix MSCI and Coreshares Index

0.35

Correlation Coefficient

Satrix MSCI  Coreshares Index

Weak diversification

The 3 months correlation between Satrix and Coreshares is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding Satrix MSCI World and Coreshares Index Tracker in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Coreshares Index Tracker and Satrix MSCI 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 Satrix MSCI World are associated (or correlated) with Coreshares Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Coreshares Index Tracker has no effect on the direction of Satrix MSCI i.e., Satrix MSCI and Coreshares Index go up and down completely randomly.

Pair Corralation between Satrix MSCI and Coreshares Index

Assuming the 90 days trading horizon Satrix MSCI World is expected to generate 0.94 times more return on investment than Coreshares Index. However, Satrix MSCI World is 1.07 times less risky than Coreshares Index. It trades about 0.1 of its potential returns per unit of risk. Coreshares Index Tracker is currently generating about 0.01 per unit of risk. If you would invest  934,300  in Satrix MSCI World on September 1, 2024 and sell it today you would earn a total of  54,000  from holding Satrix MSCI World or generate 5.78% return on investment over 90 days.

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

Satrix MSCI World  vs.  Coreshares Index Tracker

Satrix MSCI World

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Satrix MSCI World are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Satrix MSCI is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Coreshares Index Tracker

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Satrix MSCI and Coreshares Index

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

The idea behind Satrix MSCI World and Coreshares Index Tracker 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.