Correlation Analysis Between Greece TR and Straits Tms

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

Greece TR  vs.  Straits Tms

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Greece TR is expected to under-perform the Straits Tms. In addition to that, Greece TR is 3.23 times more volatile than Straits Tms. It trades about -0.23 of its total potential returns per unit of risk. Straits Tms is currently generating about -0.28 per unit of volatility. If you would invest  321,916  in Straits Tms on September 22, 2018 and sell it today you would lose (15,665)  from holding Straits Tms or give up 4.87% of portfolio value over 30 days.

Pair Corralation between Greece TR and Straits Tms

0.71
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 Straits Tms in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Straits Tms 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 Straits Tms. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Straits Tms has no effect on the direction of Greece TR i.e. Greece TR and Straits Tms go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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