Correlation Between DnB ASA and Sparebank
Can any of the company-specific risk be diversified away by investing in both DnB ASA and Sparebank 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 DnB ASA and Sparebank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between DnB ASA and Sparebank 1 SR, you can compare the effects of market volatilities on DnB ASA and Sparebank 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 DnB ASA with a short position of Sparebank. Check out your portfolio center. Please also check ongoing floating volatility patterns of DnB ASA and Sparebank.
Diversification Opportunities for DnB ASA and Sparebank
Almost no diversification
The 3 months correlation between DnB and Sparebank is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding DnB ASA and Sparebank 1 SR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparebank 1 SR and DnB ASA 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 DnB ASA are associated (or correlated) with Sparebank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparebank 1 SR has no effect on the direction of DnB ASA i.e., DnB ASA and Sparebank go up and down completely randomly.
Pair Corralation between DnB ASA and Sparebank
Assuming the 90 days trading horizon DnB ASA is expected to under-perform the Sparebank. But the stock apears to be less risky and, when comparing its historical volatility, DnB ASA is 1.36 times less risky than Sparebank. The stock trades about 0.0 of its potential returns per unit of risk. The Sparebank 1 SR is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 14,660 in Sparebank 1 SR on August 29, 2024 and sell it today you would earn a total of 120.00 from holding Sparebank 1 SR or generate 0.82% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
DnB ASA vs. Sparebank 1 SR
Performance |
| Timeline |
| DnB ASA |
| Sparebank 1 SR |
DnB ASA and Sparebank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with DnB ASA and Sparebank
The main advantage of trading using opposite DnB ASA and Sparebank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DnB ASA position performs unexpectedly, Sparebank 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 Sparebank will offset losses from the drop in Sparebank's long position.| DnB ASA vs. Telenor ASA | DnB ASA vs. Storebrand ASA | DnB ASA vs. Orkla ASA | DnB ASA vs. Gjensidige Forsikring ASA |
Check out your portfolio center.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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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