Correlation Analysis Between NQFI and FTSE MIB

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

NQFI  vs.  FTSE MIB

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to generate 0.01 times more return on investment than FTSE MIB. However, NQFI is 94.13 times less risky than FTSE MIB. It trades about -0.06 of its potential returns per unit of risk. FTSE MIB is currently generating about -0.71 per unit of risk. If you would invest  161,329  in NQFI on May 26, 2018 and sell it today you would lose (2,148)  from holding NQFI or give up 1.33% of portfolio value over 30 days.

Pair Corralation between NQFI and FTSE MIB

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy6.67%
ValuesDaily Returns

Diversification

Pay attention

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

 Predicted Return Density 
      Returns 

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