Correlation Between Sparinvest SICAV and Sparinvest INDEX

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

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

Diversification Opportunities for Sparinvest SICAV and Sparinvest INDEX

0.0

Correlation Coefficient

Sparinvest SICAV  Sparinvest INDEX

Pay attention - limited upside

The 3 months correlation between Sparinvest and Sparinvest is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Sparinvest SICAV Securus and Sparinvest INDEX Hj in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinvest INDEX and Sparinvest 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 Sparinvest SICAV Securus are associated (or correlated) with Sparinvest INDEX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinvest INDEX has no effect on the direction of Sparinvest SICAV i.e., Sparinvest SICAV and Sparinvest INDEX go up and down completely randomly.

Pair Corralation between Sparinvest SICAV and Sparinvest INDEX

If you would invest  12,150  in Sparinvest INDEX Hj on September 11, 2024 and sell it today you would earn a total of  1,095  from holding Sparinvest INDEX Hj or generate 9.01% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Flat
Strength	Insignificant
Accuracy	0.0%
Values	Daily Returns

Sparinvest SICAV Securus  vs.  Sparinvest INDEX Hj

Sparinvest SICAV Securus

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sparinvest SICAV Securus has generated negative risk-adjusted returns adding no value to fund investors. Even with relatively invariable basic indicators, Sparinvest SICAV is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.

Sparinvest INDEX

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Sparinvest INDEX Hj are ranked lower than 18 (%) of all funds and portfolios of funds over the last 90 days. Despite quite conflicting technical indicators, Sparinvest INDEX may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Sparinvest SICAV and Sparinvest INDEX

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

The idea behind Sparinvest SICAV Securus and Sparinvest INDEX Hj 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.