Pair Correlation Between ATX and Seoul Comp

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

ATX  vs.  Seoul Comp

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to generate 1.04 times less return on investment than Seoul Comp. But when comparing it to its historical volatility, ATX is 1.21 times less risky than Seoul Comp. It trades about 0.05 of its potential returns per unit of risk. Seoul Comp is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  241,428  in Seoul Comp on March 24, 2018 and sell it today you would earn a total of  5,228  from holding Seoul Comp or generate 2.17% return on investment over 30 days.

Pair Corralation between ATX and Seoul Comp

0.88
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy85.96%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns 

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