Correlation Between Sparinvest INDEX and Sparinvest SICAV
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By analyzing existing cross correlation between Sparinvest INDEX Hj and Sparinvest SICAV Procedo, you can compare the effects of market volatilities on Sparinvest INDEX and Sparinvest 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 Sparinvest INDEX with a short position of Sparinvest SICAV. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sparinvest INDEX and Sparinvest SICAV.
Diversification Opportunities for Sparinvest INDEX and Sparinvest SICAV
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Sparinvest and Sparinvest is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Sparinvest INDEX Hj and Sparinvest SICAV Procedo in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinvest SICAV Procedo and Sparinvest INDEX 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 INDEX Hj are associated (or correlated) with Sparinvest SICAV. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinvest SICAV Procedo has no effect on the direction of Sparinvest INDEX i.e., Sparinvest INDEX and Sparinvest SICAV go up and down completely randomly.
Pair Corralation between Sparinvest INDEX and Sparinvest SICAV
Assuming the 90 days trading horizon Sparinvest INDEX is expected to generate 1.25 times less return on investment than Sparinvest SICAV. In addition to that, Sparinvest INDEX is 1.13 times more volatile than Sparinvest SICAV Procedo. It trades about 0.19 of its total potential returns per unit of risk. Sparinvest SICAV Procedo is currently generating about 0.26 per unit of volatility. If you would invest 26,650 in Sparinvest SICAV Procedo on October 26, 2024 and sell it today you would earn a total of 530.00 from holding Sparinvest SICAV Procedo or generate 1.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 94.74% |
| Values | Daily Returns |
Sparinvest INDEX Hj vs. Sparinvest SICAV Procedo
Performance |
| Timeline |
| Sparinvest INDEX |
| Sparinvest SICAV Procedo |
Sparinvest INDEX and Sparinvest SICAV Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sparinvest INDEX and Sparinvest SICAV
The main advantage of trading using opposite Sparinvest INDEX and Sparinvest SICAV positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sparinvest INDEX position performs unexpectedly, Sparinvest 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 Sparinvest SICAV will offset losses from the drop in Sparinvest SICAV's long position.| Sparinvest INDEX vs. Jyske Invest Nye | Sparinvest INDEX vs. Jyske Invest Korte | Sparinvest INDEX vs. Jyske Invest Nye | Sparinvest INDEX vs. Jyske Invest Virksomhedsobligationer |
| Sparinvest SICAV vs. Sparinvest Lange | Sparinvest SICAV vs. Sparinvest INDEX Europa | Sparinvest SICAV vs. Sparinvest INDEX Hj | Sparinvest SICAV vs. Sparinvest Mellemlange |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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