Pair Correlation Between ATX and ISEQ

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

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the ISEQ. In addition to that, ATX is 1.35 times more volatile than ISEQ. It trades about -0.27 of its total potential returns per unit of risk. ISEQ is currently generating about -0.31 per unit of volatility. If you would invest  723,511  in ISEQ on January 23, 2018 and sell it today you would lose (44,377)  from holding ISEQ or give up 6.13% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between ATX and ISEQ
0.93

Parameters

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

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns