Pair Correlation Between ISEQ and RAB EX

This module allows you to analyze existing cross correlation between ISEQ and RAB EX MGR ENH B. You can compare the effects of market volatilities on ISEQ and RAB EX 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 ISEQ with a short position of RAB EX. See also your portfolio center.Please also check ongoing floating volatility patterns of ISEQ and RAB EX.
Investment Horizon     30 Days    Login   to change
 ISEQ  vs   RAB EX MGR ENH B
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

If you would invest  0.00  in RAB EX MGR ENH B on August 27, 2016 and sell it today you would earn a total of  0.00  from holding RAB EX MGR ENH B or generate 0.0% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between ISEQ and RAB EX
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy4.76%
ValuesDaily Returns

Diversification

Pay attention

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

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.55  0.00  0.00  0.00  0.00  0.03  0.00  0.97 (0.78) 3.42 
 0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00 

Comparative Volatility