Correlation Analysis Between NIKKEI 225 and XU100

This module allows you to analyze existing cross correlation between NIKKEI 225 and XU100. You can compare the effects of market volatilities on NIKKEI 225 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 NIKKEI 225 with a short position of XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of NIKKEI 225 and XU100.
Horizon     30 Days    Login   to change
Symbolsvs

NIKKEI 225  vs.  XU100

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NIKKEI 225 is expected to generate 0.79 times more return on investment than XU100. However, NIKKEI 225 is 1.27 times less risky than XU100. It trades about -0.11 of its potential returns per unit of risk. XU100 is currently generating about -0.1 per unit of risk. If you would invest  2,269,466  in NIKKEI 225 on November 11, 2018 and sell it today you would lose (122,205)  from holding NIKKEI 225 or give up 5.38% of portfolio value over 30 days.

Pair Corralation between NIKKEI 225 and XU100

0.44
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy76.47%
ValuesDaily Returns

Diversification

NIKKEI 225 diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding NIKKEI 225 and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 and NIKKEI 225 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 NIKKEI 225 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 NIKKEI 225 i.e. NIKKEI 225 and XU100 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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