Two Equities Correlation Analysis
Specify exactly 2 symbols:
SPIVEUKLA.CO
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This model provides you with a quick lookup of cross correlation between two equities. Please specify two instruments to run the correlation.
Diversification Opportunities for Sparinvest Value and NYSE Composite
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sparinvest and NYSE is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Sparinvest Value Europa and NYSE Composite in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NYSE Composite 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 Europa are associated (or correlated) with NYSE Composite. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE Composite has no effect on the direction of Sparinvest Value i.e., Sparinvest Value and NYSE Composite go up and down completely randomly.
Pair Corralation between Sparinvest Value and NYSE Composite
Assuming the 90 days trading horizon Sparinvest Value is expected to generate 1.43 times less return on investment than NYSE Composite. But when comparing it to its historical volatility, Sparinvest Value Europa is 1.0 times less risky than NYSE Composite. It trades about 0.02 of its potential returns per unit of risk. NYSE Composite is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 1,611,961 in NYSE Composite on January 24, 2024 and sell it today you would earn a total of 148,258 from holding NYSE Composite or generate 9.2% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.14% |
| Values | Daily Returns |
Sparinvest Value Europa vs. NYSE Composite
Performance |
| Timeline |
Sparinvest Value and NYSE Composite Volatility Contrast
Predicted Return Density |
| Returns |
Sparinvest Value Europa
Pair trading matchups for Sparinvest Value
NYSE Composite
Pair trading matchups for NYSE Composite
Pair Trading with Sparinvest Value and NYSE Composite
The main advantage of trading using opposite Sparinvest Value and NYSE Composite positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sparinvest Value position performs unexpectedly, NYSE Composite 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 NYSE Composite will offset losses from the drop in NYSE Composite's long position.| Sparinvest Value vs. Jyske Invest Nye | Sparinvest Value vs. Jyske Invest Nye | Sparinvest Value vs. Jyske Invest Hjt | Sparinvest Value vs. Jyske Invest Lange |
| NYSE Composite vs. The Wendys Co | NYSE Composite vs. Dine Brands Global | NYSE Composite vs. BJs Restaurants | NYSE Composite vs. Rave Restaurant Group |
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