Correlation Between Sparinvest INDEX and Jyske Invest

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

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

Diversification Opportunities for Sparinvest INDEX and Jyske Invest

0.51

Correlation Coefficient

Sparinvest INDEX  Jyske Invest

Very weak diversification

The 3 months correlation between Sparinvest and Jyske is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding Sparinvest INDEX Mellem and Jyske Invest Nye in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jyske Invest Nye and Sparinvest INDEX 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 INDEX Mellem are associated (or correlated) with Jyske Invest. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jyske Invest Nye has no effect on the direction of Sparinvest INDEX i.e., Sparinvest INDEX and Jyske Invest go up and down completely randomly.

Pair Corralation between Sparinvest INDEX and Jyske Invest

Assuming the 90 days trading horizon Sparinvest INDEX Mellem is expected to generate 0.89 times more return on investment than Jyske Invest. However, Sparinvest INDEX Mellem is 1.13 times less risky than Jyske Invest. It trades about 0.08 of its potential returns per unit of risk. Jyske Invest Nye is currently generating about 0.05 per unit of risk. If you would invest  10,233  in Sparinvest INDEX Mellem on October 11, 2024 and sell it today you would earn a total of  1,777  from holding Sparinvest INDEX Mellem or generate 17.37% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	99.8%
Values	Daily Returns

Sparinvest INDEX Mellem  vs.  Jyske Invest Nye

Sparinvest INDEX Mellem

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Sparinvest INDEX Mellem are ranked lower than 6 (%) of all funds and portfolios of funds over the last 90 days. Despite quite persistent primary indicators, Sparinvest INDEX is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.

Jyske Invest Nye

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Jyske Invest Nye has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong forward indicators, Jyske Invest is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Sparinvest INDEX and Jyske Invest

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

The idea behind Sparinvest INDEX Mellem and Jyske Invest Nye 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.