Pair Correlation Between ISEQ and RAB EX

  
Investment Horizon     30 Days    Login   to change
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. Please also check ongoing floating volatility patterns of ISEQ and RAB EX.
 ISEQ  vs   RAB EX MGR ENH B
 Daily Returns (%) 
Benchmark  Embed   Timeline 
If you would invest (100.00) in RAB EX MGR ENH B on May 31, 2016 and sell it today you would earn a total of  100.00  from holding RAB EX MGR ENH B or generate -100.0% return on investment over 30 days.

Correlation Coefficient

0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy0.0%
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
    Optimize
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.94  0.00  0.00  0.00  0.00 (0.20) 0.00  2.83 (7.73) 14.44 
 0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00  0.00 

Comparative Volatility