Correlation Between State Street and Sparinvest Value
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By analyzing existing cross correlation between State Street Aggregate and Sparinvest Value Europa, you can compare the effects of market volatilities on State Street and Sparinvest Value 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 State Street with a short position of Sparinvest Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of State Street and Sparinvest Value.
Diversification Opportunities for State Street and Sparinvest Value
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between State and Sparinvest is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding State Street Aggregate and Sparinvest Value Europa in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinvest Value Europa and State Street 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 State Street Aggregate are associated (or correlated) with Sparinvest Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinvest Value Europa has no effect on the direction of State Street i.e., State Street and Sparinvest Value go up and down completely randomly.
Pair Corralation between State Street and Sparinvest Value
Assuming the 90 days horizon State Street Aggregate is expected to under-perform the Sparinvest Value. But the mutual fund apears to be less risky and, when comparing its historical volatility, State Street Aggregate is 2.14 times less risky than Sparinvest Value. The mutual fund trades about 0.0 of its potential returns per unit of risk. The Sparinvest Value Europa is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 10,645 in Sparinvest Value Europa on January 20, 2024 and sell it today you would earn a total of 720.00 from holding Sparinvest Value Europa or generate 6.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 94.95% |
| Values | Daily Returns |
State Street Aggregate vs. Sparinvest Value Europa
Performance |
| Timeline |
| State Street Aggregate |
| Sparinvest Value Europa |
State Street and Sparinvest Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with State Street and Sparinvest Value
The main advantage of trading using opposite State Street and Sparinvest Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if State Street position performs unexpectedly, Sparinvest Value 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 Value will offset losses from the drop in Sparinvest Value's long position.| State Street vs. State Street Target | State Street vs. Ssga International Stock | State Street vs. State Street Core | State Street vs. State Street Target |
| Sparinvest Value vs. Jyske Invest Nye | Sparinvest Value vs. Jyske Invest Nye | Sparinvest Value vs. Jyske Invest Hjt | Sparinvest Value vs. Jyske Invest Lange |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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