Correlation Between Sparinvest Value and Maj Invest

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

Diversification Opportunities for Sparinvest Value and Maj Invest

0.72
  Correlation Coefficient

Poor diversification

The 3 months correlation between Sparinvest and Maj is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Sparinvest Value Emerging and Maj Invest Emerging in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Maj Invest Emerging and Sparinvest Value 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 Value Emerging are associated (or correlated) with Maj Invest. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Maj Invest Emerging has no effect on the direction of Sparinvest Value i.e., Sparinvest Value and Maj Invest go up and down completely randomly.

Pair Corralation between Sparinvest Value and Maj Invest

Assuming the 90 days trading horizon Sparinvest Value Emerging is expected to generate 0.78 times more return on investment than Maj Invest. However, Sparinvest Value Emerging is 1.28 times less risky than Maj Invest. It trades about 0.08 of its potential returns per unit of risk. Maj Invest Emerging is currently generating about -0.02 per unit of risk. If you would invest  14,135  in Sparinvest Value Emerging on October 21, 2024 and sell it today you would earn a total of  145.00  from holding Sparinvest Value Emerging or generate 1.03% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Sparinvest Value Emerging  vs.  Maj Invest Emerging

 Performance 
       Timeline  
Sparinvest Value Emerging 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Sparinvest Value Emerging has generated negative risk-adjusted returns adding no value to fund investors. Despite quite persistent primary indicators, Sparinvest Value is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.
Maj Invest Emerging 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Maj Invest Emerging has generated negative risk-adjusted returns adding no value to fund investors. Despite somewhat strong forward-looking indicators, Maj Invest is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Sparinvest Value and Maj Invest Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Sparinvest Value and Maj Invest

The main advantage of trading using opposite Sparinvest Value and Maj Invest positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sparinvest Value position performs unexpectedly, Maj Invest 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 Maj Invest will offset losses from the drop in Maj Invest's long position.
The idea behind Sparinvest Value Emerging and Maj Invest Emerging 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.
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.

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