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This module allows you to analyze existing cross correlation between NQEGT and Russia TR. You can compare the effects of market volatilities on NQEGT 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 NQEGT with a short position of Russia TR. See also your portfolio center. Please also check ongoing floating volatility patterns of NQEGT and Russia TR.
|Horizon||30 Days Login to change|
Predicted Return Density
NQEGT vs. Russia TR
Assuming 30 trading days horizon, NQEGT is expected to under-perform the Russia TR. But the index apears to be less risky and, when comparing its historical volatility, NQEGT is 1.07 times less risky than Russia TR. The index trades about -0.08 of its potential returns per unit of risk. The Russia TR is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 122,066 in Russia TR on November 15, 2018 and sell it today you would lose (1,839) from holding Russia TR or give up 1.51% of portfolio value over 30 days.
Pair Corralation between NQEGT and Russia TR
|Time Period||2 Months [change]|
Diversification Opportunities for NQEGT and Russia TR
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding NQEGT and Russia TR in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russia TR and NQEGT 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 NQEGT 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 NQEGT i.e. NQEGT and Russia TR go up and down completely randomly.