Pair Correlation Between SP 500 and XU100

This module allows you to analyze existing cross correlation between S&P 500 and XU100. You can compare the effects of market volatilities on SP 500 and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and XU100.
 Time Horizon     30 Days    Login   to change
 S&P 500  vs   XU100
 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, SP 500 is expected to generate 1.04 times less return on investment than XU100. But when comparing it to its historical volatility, S&P 500 is 1.17 times less risky than XU100. It trades about 0.04 of its potential returns per unit of risk. XU100 is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  11,651,097  in XU100 on February 16, 2018 and sell it today you would earn a total of  70,531  from holding XU100 or generate 0.61% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SP 500 and XU100


Time Period1 Month [change]
ValuesDaily Returns


Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of SP 500 i.e. SP 500 and XU100 go up and down completely randomly.

Comparative Volatility

 Predicted Return Density