Correlation Between Maj Invest and Sparinv SICAV

Can any of the company-specific risk be diversified away by investing in both Maj 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 Maj 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 Maj Invest Value and Sparinv SICAV, you can compare the effects of market volatilities on Maj 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 Maj Invest with a short position of Sparinv SICAV. Check out your portfolio center. Please also check ongoing floating volatility patterns of Maj Invest and Sparinv SICAV.

Diversification Opportunities for Maj Invest and Sparinv SICAV

0.87

Correlation Coefficient

Maj Invest  Sparinv SICAV

Very poor diversification

The 3 months correlation between Maj and Sparinv is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Maj Invest Value and Sparinv SICAV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinv SICAV and Maj 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 Maj Invest Value 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 Maj Invest i.e., Maj Invest and Sparinv SICAV go up and down completely randomly.

Pair Corralation between Maj Invest and Sparinv SICAV

Assuming the 90 days trading horizon Maj Invest is expected to generate 1.51 times less return on investment than Sparinv SICAV. In addition to that, Maj Invest is 1.03 times more volatile than Sparinv SICAV. It trades about 0.14 of its total potential returns per unit of risk. Sparinv SICAV is currently generating about 0.21 per unit of volatility. If you would invest  26,910  in Sparinv SICAV on September 13, 2024 and sell it today you would earn a total of  2,760  from holding Sparinv SICAV or generate 10.26% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	96.88%
Values	Daily Returns

Maj Invest Value  vs.  Sparinv SICAV

Maj Invest Value

Risk-Adjusted Performance

10 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Maj Invest Value are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat weak forward-looking indicators, Maj Invest may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Sparinv SICAV

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Sparinv SICAV are ranked lower than 16 (%) 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 Maj Invest and Sparinv SICAV

The main advantage of trading using opposite Maj Invest and Sparinv SICAV positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Maj 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 Maj Invest Value 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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..