Pair Correlation Between ATX and DAX

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

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the DAX. But the index apears to be less risky and, when comparing its historical volatility, ATX is 1.07 times less risky than DAX. The index trades about -0.15 of its potential returns per unit of risk. The DAX is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  1,299,128  in DAX on October 20, 2017 and sell it today you would earn a total of  245  from holding DAX or generate 0.02% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between ATX and DAX
0.66

Parameters

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

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns