Correlation Between Vanguard Short and Saat Defensive

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

By analyzing existing cross correlation between Vanguard Short Term Treasury and Saat Defensive Strategy, you can compare the effects of market volatilities on Vanguard Short and Saat Defensive 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 Vanguard Short with a short position of Saat Defensive. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Short and Saat Defensive.

Diversification Opportunities for Vanguard Short and Saat Defensive

0.45

Correlation Coefficient

Vanguard Short  Saat Defensive

Very weak diversification

The 3 months correlation between Vanguard and Saat is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Short Term Treasury and Saat Defensive Strategy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saat Defensive Strategy and Vanguard Short 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 Vanguard Short Term Treasury are associated (or correlated) with Saat Defensive. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saat Defensive Strategy has no effect on the direction of Vanguard Short i.e., Vanguard Short and Saat Defensive go up and down completely randomly.

Pair Corralation between Vanguard Short and Saat Defensive

Assuming the 90 days horizon Vanguard Short Term Treasury is expected to generate 0.77 times more return on investment than Saat Defensive. However, Vanguard Short Term Treasury is 1.3 times less risky than Saat Defensive. It trades about -0.1 of its potential returns per unit of risk. Saat Defensive Strategy is currently generating about -0.08 per unit of risk. If you would invest  976.00  in Vanguard Short Term Treasury on January 26, 2024 and sell it today you would lose (4.00) from holding Vanguard Short Term Treasury or give up 0.41% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	95.45%
Values	Daily Returns

Vanguard Short Term Treasury  vs.  Saat Defensive Strategy

Vanguard Short Term

Risk-Adjusted Performance

0 of 100

Very Weak

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

Saat Defensive Strategy

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Saat Defensive Strategy are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong forward indicators, Saat Defensive is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Vanguard Short and Saat Defensive

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

The idea behind Vanguard Short Term Treasury and Saat Defensive Strategy 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.