Correlation Between Sparinvest SICAV and Sparinvest INDEX
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By analyzing existing cross correlation between Sparinvest SICAV Procedo and Sparinvest INDEX Europa, you can compare the effects of market volatilities on Sparinvest SICAV and Sparinvest INDEX 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 SICAV with a short position of Sparinvest INDEX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sparinvest SICAV and Sparinvest INDEX.
Diversification Opportunities for Sparinvest SICAV and Sparinvest INDEX
0.37 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Sparinvest and Sparinvest is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Sparinvest SICAV Procedo and Sparinvest INDEX Europa in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinvest INDEX Europa and Sparinvest SICAV 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 SICAV Procedo are associated (or correlated) with Sparinvest INDEX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinvest INDEX Europa has no effect on the direction of Sparinvest SICAV i.e., Sparinvest SICAV and Sparinvest INDEX go up and down completely randomly.
Pair Corralation between Sparinvest SICAV and Sparinvest INDEX
Assuming the 90 days trading horizon Sparinvest SICAV is expected to generate 1.71 times less return on investment than Sparinvest INDEX. But when comparing it to its historical volatility, Sparinvest SICAV Procedo is 1.27 times less risky than Sparinvest INDEX. It trades about 0.09 of its potential returns per unit of risk. Sparinvest INDEX Europa is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 10,639 in Sparinvest INDEX Europa on November 5, 2024 and sell it today you would earn a total of 2,257 from holding Sparinvest INDEX Europa or generate 21.21% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sparinvest SICAV Procedo vs. Sparinvest INDEX Europa
Performance |
| Timeline |
| Sparinvest SICAV Procedo |
| Sparinvest INDEX Europa |
Sparinvest SICAV and Sparinvest INDEX Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sparinvest SICAV and Sparinvest INDEX
The main advantage of trading using opposite Sparinvest SICAV and Sparinvest INDEX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sparinvest SICAV position performs unexpectedly, Sparinvest INDEX 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 INDEX will offset losses from the drop in Sparinvest INDEX's long position.| Sparinvest SICAV vs. Sparinvest INDEX Europa | Sparinvest SICAV vs. Sparinvest INDEX Hj | Sparinvest SICAV vs. Sparinvest Mellemlange | Sparinvest SICAV vs. Sparinvest INDEX Mellem |
| Sparinvest INDEX vs. Sparinvest INDEX Hj | Sparinvest INDEX vs. Sparinvest SICAV Procedo | Sparinvest INDEX vs. Sparinvest Mellemlange | Sparinvest INDEX vs. Sparinvest INDEX Mellem |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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