Correlation Between Sparinvest INDEX and Sparinvest SICAV

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

Diversification Opportunities for Sparinvest INDEX and Sparinvest SICAV

0.97

Correlation Coefficient

Sparinvest INDEX  Sparinvest SICAV

Almost no diversification

The 3 months correlation between Sparinvest and Sparinvest is 0.97. Overlapping area represents the amount of risk that can be diversified away by holding Sparinvest INDEX Mellem and Sparinvest SICAV Procedo in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinvest SICAV Procedo 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 Sparinvest SICAV. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinvest SICAV Procedo has no effect on the direction of Sparinvest INDEX i.e., Sparinvest INDEX and Sparinvest SICAV go up and down completely randomly.

Pair Corralation between Sparinvest INDEX and Sparinvest SICAV

Assuming the 90 days trading horizon Sparinvest INDEX Mellem is expected to generate 0.85 times more return on investment than Sparinvest SICAV. However, Sparinvest INDEX Mellem is 1.18 times less risky than Sparinvest SICAV. It trades about 0.21 of its potential returns per unit of risk. Sparinvest SICAV Procedo is currently generating about 0.17 per unit of risk. If you would invest  11,605  in Sparinvest INDEX Mellem on September 14, 2024 and sell it today you would earn a total of  625.00  from holding Sparinvest INDEX Mellem or generate 5.39% return on investment over 90 days.

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

Sparinvest INDEX Mellem  vs.  Sparinvest SICAV Procedo

Sparinvest INDEX Mellem

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Sparinvest INDEX Mellem are ranked lower than 16 (%) 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.

Sparinvest SICAV Procedo

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Sparinvest SICAV Procedo are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. Even with relatively invariable technical and fundamental indicators, Sparinvest SICAV is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with Sparinvest INDEX and Sparinvest SICAV

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

The idea behind Sparinvest INDEX Mellem and Sparinvest SICAV Procedo 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.