Correlation Between Sparinv SICAV and Sparinvest Europa

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

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

Diversification Opportunities for Sparinv SICAV and Sparinvest Europa

-0.5

Correlation Coefficient

Sparinv SICAV  Sparinvest Europa

Very good diversification

The 3 months correlation between Sparinv and Sparinvest is -0.5. Overlapping area represents the amount of risk that can be diversified away by holding Sparinv SICAV and Sparinvest Europa Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinvest Europa Growth and Sparinv SICAV 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 Sparinv SICAV are associated (or correlated) with Sparinvest Europa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinvest Europa Growth has no effect on the direction of Sparinv SICAV i.e., Sparinv SICAV and Sparinvest Europa go up and down completely randomly.

Pair Corralation between Sparinv SICAV and Sparinvest Europa

Assuming the 90 days trading horizon Sparinv SICAV is expected to generate 0.87 times more return on investment than Sparinvest Europa. However, Sparinv SICAV is 1.16 times less risky than Sparinvest Europa. It trades about 0.21 of its potential returns per unit of risk. Sparinvest Europa Growth is currently generating about -0.02 per unit of risk. If you would invest  26,970  in Sparinv SICAV on September 4, 2024 and sell it today you would earn a total of  2,710  from holding Sparinv SICAV or generate 10.05% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	95.38%
Values	Daily Returns

Sparinv SICAV  vs.  Sparinvest Europa Growth

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 unsteady technical and fundamental indicators, Sparinv SICAV may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Sparinvest Europa Growth

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Sparinv SICAV and Sparinvest Europa

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

The idea behind Sparinv SICAV and Sparinvest Europa Growth 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.