Correlation Between OMX Copenhagen and Sparinv SICAV

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Can any of the company-specific risk be diversified away by investing in both OMX Copenhagen and Sparinv 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 OMX Copenhagen and Sparinv SICAV into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between OMX Copenhagen All and Sparinv SICAV, you can compare the effects of market volatilities on OMX Copenhagen and Sparinv 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 OMX Copenhagen with a short position of Sparinv SICAV. Check out your portfolio center. Please also check ongoing floating volatility patterns of OMX Copenhagen and Sparinv SICAV.

Diversification Opportunities for OMX Copenhagen and Sparinv SICAV

0.07
  Correlation Coefficient

Significant diversification

The 3 months correlation between OMX and Sparinv is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding OMX Copenhagen All and Sparinv SICAV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinv SICAV and OMX Copenhagen 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 OMX Copenhagen All are associated (or correlated) with Sparinv SICAV. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinv SICAV has no effect on the direction of OMX Copenhagen i.e., OMX Copenhagen and Sparinv SICAV go up and down completely randomly.
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Pair Corralation between OMX Copenhagen and Sparinv SICAV

Assuming the 90 days trading horizon OMX Copenhagen All is expected to generate 1.33 times more return on investment than Sparinv SICAV. However, OMX Copenhagen is 1.33 times more volatile than Sparinv SICAV. It trades about 0.05 of its potential returns per unit of risk. Sparinv SICAV is currently generating about 0.06 per unit of risk. If you would invest  138,773  in OMX Copenhagen All on September 13, 2024 and sell it today you would earn a total of  36,855  from holding OMX Copenhagen All or generate 26.56% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy87.27%
ValuesDaily Returns

OMX Copenhagen All  vs.  Sparinv SICAV

 Performance 
       Timeline  

OMX Copenhagen and Sparinv SICAV Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with OMX Copenhagen and Sparinv SICAV

The main advantage of trading using opposite OMX Copenhagen and Sparinv SICAV positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if OMX Copenhagen position performs unexpectedly, Sparinv 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 Sparinv SICAV will offset losses from the drop in Sparinv SICAV's long position.
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The idea behind OMX Copenhagen All and Sparinv SICAV 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.
Sparinv SICAV vs. Sparinv SICAV
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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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.

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