This module allows you to analyze existing cross correlation between Nasdaq and Russia TR. You can compare the effects of market volatilities on Nasdaq and Russia TR 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 Nasdaq with a short position of Russia TR. See also your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq and Russia TR.
Assuming 30 trading days horizon, Nasdaq is expected to generate 1.1 times less return on investment than Russia TR. But when comparing it to its historical volatility, Nasdaq is 1.55 times less risky than Russia TR. It trades about 0.19 of its potential returns per unit of risk. Russia TR is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 108,448 in Russia TR on June 23, 2018 and sell it today you would earn a total of 3,339 from holding Russia TR or generate 3.08% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq and Russia TR in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russia TR and Nasdaq 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 Nasdaq are associated (or correlated) with Russia TR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russia TR has no effect on the direction of Nasdaq i.e. Nasdaq and Russia TR go up and down completely randomly.
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