Pair Correlation Between ATX and NYSE

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

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the NYSE. In addition to that, ATX is 2.18 times more volatile than NYSE. It trades about -0.11 of its total potential returns per unit of risk. NYSE is currently generating about -0.09 per unit of volatility. If you would invest  1,238,032  in NYSE on October 19, 2017 and sell it today you would lose (7,742)  from holding NYSE or give up 0.63% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between ATX and NYSE
0.52

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.45%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns