Correlation Between Sparinvest Value and Sparinv SICAV

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

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

Diversification Opportunities for Sparinvest Value and Sparinv SICAV

0.51

Correlation Coefficient

Sparinvest Value  Sparinv SICAV

Very weak diversification

The 3 months correlation between Sparinvest and Sparinv is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding Sparinvest Value Emerging and Sparinv SICAV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinv SICAV and Sparinvest Value 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 Sparinvest Value Emerging 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 Sparinvest Value i.e., Sparinvest Value and Sparinv SICAV go up and down completely randomly.

Pair Corralation between Sparinvest Value and Sparinv SICAV

Assuming the 90 days trading horizon Sparinvest Value is expected to generate 5.47 times less return on investment than Sparinv SICAV. In addition to that, Sparinvest Value is 1.3 times more volatile than Sparinv SICAV. It trades about 0.0 of its total potential returns per unit of risk. Sparinv SICAV is currently generating about 0.03 per unit of volatility. If you would invest  29,680  in Sparinv SICAV on December 2, 2024 and sell it today you would earn a total of  400.00  from holding Sparinv SICAV or generate 1.35% return on investment over 90 days.

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

Sparinvest Value Emerging  vs.  Sparinv SICAV

Sparinvest Value Emerging

Risk-Adjusted Performance

Very Weak

Over the last 90 days Sparinvest Value Emerging has generated negative risk-adjusted returns adding no value to fund investors. Despite quite persistent primary indicators, Sparinvest Value is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.

Sparinv SICAV

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Sparinv SICAV are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of rather sound technical and fundamental indicators, Sparinv SICAV is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with Sparinvest Value and Sparinv SICAV

The main advantage of trading using opposite Sparinvest Value and Sparinv SICAV positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sparinvest Value 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 Sparinvest Value Emerging 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.