Correlation Analysis Between SP 500 and DAX

This module allows you to analyze existing cross correlation between S&P 500 and DAX. You can compare the effects of market volatilities on SP 500 and DAX 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 SP 500 with a short position of DAX. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and DAX.
Horizon     30 Days    Login   to change

S&P 500  vs.  DAX

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to generate 1.11 times more return on investment than DAX. However, SP 500 is 1.11 times more volatile than DAX. It trades about -0.08 of its potential returns per unit of risk. DAX is currently generating about -0.12 per unit of risk. If you would invest  276,713  in S&P 500 on November 11, 2018 and sell it today you would lose (13,035)  from holding S&P 500 or give up 4.71% of portfolio value over 30 days.

Pair Corralation between SP 500 and DAX

Time Period2 Months [change]
ValuesDaily Returns


S&P 500 diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and DAX in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DAX and SP 500 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 S&P 500 are associated (or correlated) with DAX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DAX has no effect on the direction of SP 500 i.e. SP 500 and DAX go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.