Pair Correlation Between Greece TR and ATX

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

Pair Volatility

Assuming 30 trading days horizon, Greece TR is expected to generate 2.56 times more return on investment than ATX. However, Greece TR is 2.56 times more volatile than ATX. It trades about -0.02 of its potential returns per unit of risk. ATX is currently generating about -0.22 per unit of risk. If you would invest  50,492  in Greece TR on October 26, 2017 and sell it today you would lose (416)  from holding Greece TR or give up 0.82% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Greece TR and ATX
0.72

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns