Correlation Analysis Between ATX and Russia TR

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

 Predicted Return Density 
      Returns 

ATX  vs.  Russia TR

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the Russia TR. In addition to that, ATX is 1.34 times more volatile than Russia TR. It trades about -0.15 of its total potential returns per unit of risk. Russia TR is currently generating about -0.01 per unit of volatility. If you would invest  119,594  in Russia TR on November 18, 2018 and sell it today you would lose (1,059)  from holding Russia TR or give up 0.89% of portfolio value over 30 days.

Pair Corralation between ATX and Russia TR

-0.37
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy91.3%
ValuesDaily Returns

Diversification Opportunities for ATX and Russia TR

ATX diversification synergy

Very good diversification

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