Correlation Between Sparebanken Sor and Sparebank
Can any of the company-specific risk be diversified away by investing in both Sparebanken Sor 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 Sparebanken Sor and Sparebank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sparebanken Sor and Sparebank 1 SMN, you can compare the effects of market volatilities on Sparebanken Sor 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 Sparebanken Sor with a short position of Sparebank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sparebanken Sor and Sparebank.
Diversification Opportunities for Sparebanken Sor and Sparebank
0.91 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Sparebanken and Sparebank is 0.91. Overlapping area represents the amount of risk that can be diversified away by holding Sparebanken Sor and Sparebank 1 SMN in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparebank 1 SMN and Sparebanken Sor 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 Sparebanken Sor 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 SMN has no effect on the direction of Sparebanken Sor i.e., Sparebanken Sor and Sparebank go up and down completely randomly.
Pair Corralation between Sparebanken Sor and Sparebank
Assuming the 90 days trading horizon Sparebanken Sor is expected to generate 1.93 times more return on investment than Sparebank. However, Sparebanken Sor is 1.93 times more volatile than Sparebank 1 SMN. It trades about 0.09 of its potential returns per unit of risk. Sparebank 1 SMN is currently generating about 0.06 per unit of risk. If you would invest 15,050 in Sparebanken Sor on August 31, 2024 and sell it today you would earn a total of 3,150 from holding Sparebanken Sor or generate 20.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sparebanken Sor vs. Sparebank 1 SMN
Performance |
| Timeline |
| Sparebanken Sor |
| Sparebank 1 SMN |
Sparebanken Sor and Sparebank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sparebanken Sor and Sparebank
The main advantage of trading using opposite Sparebanken Sor and Sparebank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sparebanken Sor 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.| Sparebanken Sor vs. Sparebanken Vest | Sparebanken Sor vs. Sparebank 1 Nord Norge | Sparebanken Sor vs. Sparebank 1 SMN | Sparebanken Sor vs. Sparebanken Ost |
| Sparebank vs. Sparebank 1 Nord Norge | Sparebank vs. Sparebanken Vest | Sparebank vs. Storebrand ASA | Sparebank vs. DnB 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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