Correlation Between Jyske Invest and Sparinv SICAV

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

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

Diversification Opportunities for Jyske Invest and Sparinv SICAV

0.25

Correlation Coefficient

Jyske Invest  Sparinv SICAV

Modest diversification

The 3 months correlation between Jyske and Sparinv is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Jyske Invest Nye and Sparinv SICAV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinv SICAV and Jyske Invest 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 Jyske Invest Nye are associated (or correlated) with Sparinv SICAV. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinv SICAV has no effect on the direction of Jyske Invest i.e., Jyske Invest and Sparinv SICAV go up and down completely randomly.

Pair Corralation between Jyske Invest and Sparinv SICAV

Assuming the 90 days trading horizon Jyske Invest is expected to generate 5.4 times less return on investment than Sparinv SICAV. But when comparing it to its historical volatility, Jyske Invest Nye is 1.87 times less risky than Sparinv SICAV. It trades about 0.08 of its potential returns per unit of risk. Sparinv SICAV is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  26,750  in Sparinv SICAV on September 12, 2024 and sell it today you would earn a total of  2,920  from holding Sparinv SICAV or generate 10.92% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

Jyske Invest Nye  vs.  Sparinv SICAV

Jyske Invest Nye

Risk-Adjusted Performance

6 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Jyske Invest Nye are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong forward indicators, Jyske Invest is not utilizing all of its potentials. The recent stock price disturbance, may contribute to short-term losses for the investors.

Sparinv SICAV

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Sparinv SICAV are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of rather weak technical and fundamental indicators, Sparinv SICAV may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Jyske Invest and Sparinv SICAV

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

The idea behind Jyske Invest Nye and Sparinv SICAV 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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.