Pair Correlation Between All Ords and XU100

This module allows you to analyze existing cross correlation between All Ords and XU100. You can compare the effects of market volatilities on All Ords and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and XU100.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 All Ords  vs   XU100
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to generate 0.27 times more return on investment than XU100. However, All Ords is 3.66 times less risky than XU100. It trades about 0.15 of its potential returns per unit of risk. XU100 is currently generating about -0.1 per unit of risk. If you would invest  595,670  in All Ords on October 22, 2017 and sell it today you would earn a total of  7,210  from holding All Ords or generate 1.21% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between All Ords and XU100
0.26

Parameters

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

Diversification

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding All Ords and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of All Ords i.e. All Ords and XU100 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns