Correlation Between International Small and Sa International

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

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

Diversification Opportunities for International Small and Sa International

0.91

Correlation Coefficient

International Small  Sa International

Almost no diversification

The 3 months correlation between International and SAHMX is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding International Small Pany and Sa International Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sa International Value and International 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 International Small Pany are associated (or correlated) with Sa International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sa International Value has no effect on the direction of International Small i.e., International Small and Sa International go up and down completely randomly.

Pair Corralation between International Small and Sa International

Assuming the 90 days horizon International Small is expected to generate 1.24 times less return on investment than Sa International. In addition to that, International Small is 1.21 times more volatile than Sa International Value. It trades about 0.18 of its total potential returns per unit of risk. Sa International Value is currently generating about 0.28 per unit of volatility. If you would invest  1,254  in Sa International Value on February 20, 2024 and sell it today you would earn a total of  130.00  from holding Sa International Value or generate 10.37% return on investment over 90 days.

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

International Small Pany  vs.  Sa International Value

International Small Pany

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in International Small Pany are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, International Small may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Sa International Value

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Sa International Value are ranked lower than 21 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak primary indicators, Sa International may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with International Small and Sa International

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

The idea behind International Small Pany and Sa International Value 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.