Correlation Between Aurskog Sparebank and Sparebank

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

By analyzing existing cross correlation between Aurskog Sparebank and Sparebank 1 Ostfold, you can compare the effects of market volatilities on Aurskog Sparebank and Sparebank 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 Aurskog Sparebank with a short position of Sparebank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aurskog Sparebank and Sparebank.

Diversification Opportunities for Aurskog Sparebank and Sparebank

0.76

Correlation Coefficient

Aurskog Sparebank  Sparebank

Poor diversification

The 3 months correlation between Aurskog and Sparebank is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Aurskog Sparebank and Sparebank 1 Ostfold in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sparebank 1 Ostfold and Aurskog Sparebank 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 Aurskog Sparebank are associated (or correlated) with Sparebank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sparebank 1 Ostfold has no effect on the direction of Aurskog Sparebank i.e., Aurskog Sparebank and Sparebank go up and down completely randomly.

Pair Corralation between Aurskog Sparebank and Sparebank

Assuming the 90 days trading horizon Aurskog Sparebank is expected to generate 3.44 times less return on investment than Sparebank. But when comparing it to its historical volatility, Aurskog Sparebank is 1.56 times less risky than Sparebank. It trades about 0.03 of its potential returns per unit of risk. Sparebank 1 Ostfold is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  36,000  in Sparebank 1 Ostfold on September 12, 2024 and sell it today you would earn a total of  1,700  from holding Sparebank 1 Ostfold or generate 4.72% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.46%
Values	Daily Returns

Aurskog Sparebank  vs.  Sparebank 1 Ostfold

Aurskog Sparebank

Risk-Adjusted Performance

2 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Aurskog Sparebank are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent essential indicators, Aurskog Sparebank is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Sparebank 1 Ostfold

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Sparebank 1 Ostfold are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent essential indicators, Sparebank is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Aurskog Sparebank and Sparebank

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

The idea behind Aurskog Sparebank and Sparebank 1 Ostfold 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.

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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..