Correlation Between Bankinvest Europa and Sparinv SICAV

Can any of the company-specific risk be diversified away by investing in both Bankinvest Europa and Sparinv SICAV 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 Bankinvest Europa and Sparinv SICAV into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Bankinvest Europa and Sparinv SICAV, you can compare the effects of market volatilities on Bankinvest Europa and Sparinv 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 Bankinvest Europa with a short position of Sparinv SICAV. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bankinvest Europa and Sparinv SICAV.

Diversification Opportunities for Bankinvest Europa and Sparinv SICAV

0.74

Correlation Coefficient

Bankinvest Europa  Sparinv SICAV

Poor diversification

The 3 months correlation between Bankinvest and Sparinv is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Bankinvest Europa and Sparinv SICAV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparinv SICAV and Bankinvest Europa 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 Bankinvest Europa are associated (or correlated) with Sparinv SICAV. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparinv SICAV has no effect on the direction of Bankinvest Europa i.e., Bankinvest Europa and Sparinv SICAV go up and down completely randomly.

Pair Corralation between Bankinvest Europa and Sparinv SICAV

Assuming the 90 days trading horizon Bankinvest Europa is expected to generate 1.05 times more return on investment than Sparinv SICAV. However, Bankinvest Europa is 1.05 times more volatile than Sparinv SICAV. It trades about 0.21 of its potential returns per unit of risk. Sparinv SICAV is currently generating about 0.16 per unit of risk. If you would invest  11,035  in Bankinvest Europa on February 23, 2024 and sell it today you would earn a total of  905.00  from holding Bankinvest Europa or generate 8.2% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	96.49%
Values	Daily Returns

Bankinvest Europa  vs.  Sparinv SICAV

Bankinvest Europa

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Bankinvest Europa are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. Despite somewhat weak basic indicators, Bankinvest Europa may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Sparinv SICAV

Risk-Adjusted Performance

0 of 100

Good

Over the last 90 days Sparinv SICAV has generated negative risk-adjusted returns adding no value to fund investors. In spite of rather weak technical and fundamental indicators, Sparinv SICAV may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with Bankinvest Europa and Sparinv SICAV

The main advantage of trading using opposite Bankinvest Europa and Sparinv SICAV positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bankinvest Europa position performs unexpectedly, Sparinv 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 Sparinv SICAV will offset losses from the drop in Sparinv SICAV's long position.

The idea behind Bankinvest Europa and Sparinv SICAV 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..