Correlation Analysis Between ATX and All Ords

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

ATX  vs.  All Ords

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to generate 1.37 times more return on investment than All Ords. However, ATX is 1.37 times more volatile than All Ords. It trades about -0.08 of its potential returns per unit of risk. All Ords is currently generating about -0.2 per unit of risk. If you would invest  334,536  in ATX on September 18, 2018 and sell it today you would lose (7,133)  from holding ATX or give up 2.13% of portfolio value over 30 days.

Pair Corralation between ATX and All Ords

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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

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