Correlation Analysis Between SP 500 and NIKKEI 225

This module allows you to analyze existing cross correlation between S&P 500 and NIKKEI 225. You can compare the effects of market volatilities on SP 500 and NIKKEI 225 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 NIKKEI 225. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and NIKKEI 225.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

S&P 500  vs.  NIKKEI 225

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the NIKKEI 225. But the index apears to be less risky and, when comparing its historical volatility, S&P 500 is 1.05 times less risky than NIKKEI 225. The index trades about -0.14 of its potential returns per unit of risk. The NIKKEI 225 is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest  2,201,078  in NIKKEI 225 on November 18, 2018 and sell it today you would lose (89,533)  from holding NIKKEI 225 or give up 4.07% of portfolio value over 30 days.

Pair Corralation between SP 500 and NIKKEI 225

0.53
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy80.0%
ValuesDaily Returns

Diversification Opportunities for SP 500 and NIKKEI 225

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 NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 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 NIKKEI 225. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIKKEI 225 has no effect on the direction of SP 500 i.e. SP 500 and NIKKEI 225 go up and down completely randomly.
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