Pair Correlation Between FTSE 100 and ATX

This module allows you to analyze existing cross correlation between FTSE 100 and ATX. You can compare the effects of market volatilities on FTSE 100 and ATX 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 FTSE 100 with a short position of ATX. See also your portfolio center. Please also check ongoing floating volatility patterns of FTSE 100 and ATX.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 FTSE 100  vs   ATX
 Performance (%) 
      Timeline 

Pair Volatility

If you would invest  340,689  in ATX on December 18, 2017 and sell it today you would earn a total of  22,119  from holding ATX or generate 6.49% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between FTSE 100 and ATX
0.54

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy5.0%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding FTSE 100 and ATX in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ATX and FTSE 100 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 FTSE 100 are associated (or correlated) with ATX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATX has no effect on the direction of FTSE 100 i.e. FTSE 100 and ATX go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns