Pair Correlation Between All Ords and Russia TR

This module allows you to analyze existing cross correlation between All Ords and Russia TR. You can compare the effects of market volatilities on All Ords and Russia TR 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 All Ords with a short position of Russia TR. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and Russia TR.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 All Ords  vs   Russia TR
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to generate 1.28 times less return on investment than Russia TR. But when comparing it to its historical volatility, All Ords is 2.96 times less risky than Russia TR. It trades about 0.18 of its potential returns per unit of risk. Russia TR is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  100,206  in Russia TR on October 23, 2017 and sell it today you would earn a total of  1,772  from holding Russia TR or generate 1.77% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between All Ords and Russia TR
0.89

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns