Pair Correlation Between Greece TR and All Ords

This module allows you to analyze existing cross correlation between Greece TR and All Ords. You can compare the effects of market volatilities on Greece TR and All Ords 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 Greece TR with a short position of All Ords. See also your portfolio center. Please also check ongoing floating volatility patterns of Greece TR and All Ords.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Greece TR  vs   All Ords
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Greece TR is expected to under-perform the All Ords. In addition to that, Greece TR is 3.96 times more volatile than All Ords. It trades about -0.2 of its total potential returns per unit of risk. All Ords is currently generating about 0.16 per unit of volatility. If you would invest  596,790  in All Ords on October 20, 2017 and sell it today you would earn a total of  7,690  from holding All Ords or generate 1.29% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Greece TR and All Ords
-0.39

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns