Correlation Between Sparebank and Aurskog Sparebank
Can any of the company-specific risk be diversified away by investing in both Sparebank and Aurskog 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 Sparebank and Aurskog Sparebank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sparebank 1 Ostfold and Aurskog Sparebank, you can compare the effects of market volatilities on Sparebank and Aurskog 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 Sparebank with a short position of Aurskog Sparebank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sparebank and Aurskog Sparebank.
Diversification Opportunities for Sparebank and Aurskog Sparebank
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sparebank and Aurskog is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Sparebank 1 Ostfold and Aurskog Sparebank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aurskog Sparebank and Sparebank 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 Sparebank 1 Ostfold are associated (or correlated) with Aurskog Sparebank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aurskog Sparebank has no effect on the direction of Sparebank i.e., Sparebank and Aurskog Sparebank go up and down completely randomly.
Pair Corralation between Sparebank and Aurskog Sparebank
Assuming the 90 days trading horizon Sparebank 1 Ostfold is expected to generate 1.57 times more return on investment than Aurskog Sparebank. However, Sparebank is 1.57 times more volatile than Aurskog Sparebank. It trades about 0.05 of its potential returns per unit of risk. Aurskog Sparebank is currently generating about 0.05 per unit of risk. If you would invest 26,703 in Sparebank 1 Ostfold on September 13, 2024 and sell it today you would earn a total of 10,797 from holding Sparebank 1 Ostfold or generate 40.43% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
Sparebank 1 Ostfold vs. Aurskog Sparebank
Performance |
| Timeline |
| Sparebank 1 Ostfold |
| Aurskog Sparebank |
Sparebank and Aurskog Sparebank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sparebank and Aurskog Sparebank
The main advantage of trading using opposite Sparebank and Aurskog Sparebank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sparebank position performs unexpectedly, Aurskog 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 Aurskog Sparebank will offset losses from the drop in Aurskog Sparebank's long position.| Sparebank vs. Sparebank 1 Nord Norge | Sparebank vs. Sparebank 1 SMN | Sparebank vs. Sparebanken Vest | Sparebank vs. Sparebanken Mre |
| Aurskog Sparebank vs. Helgeland Sparebank | Aurskog Sparebank vs. Kongsberg Gruppen ASA | Aurskog Sparebank vs. Napatech AS | Aurskog Sparebank vs. Elkem 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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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