This module allows you to analyze existing cross correlation between NQPH and Russia TR. You can compare the effects of market volatilities on NQPH 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 NQPH with a short position of Russia TR. See also your portfolio center. Please also check ongoing floating volatility patterns of NQPH and Russia TR.
Assuming 30 trading days horizon, NQPH is expected to under-perform the Russia TR. But the index apears to be less risky and, when comparing its historical volatility, NQPH is 1.83 times less risky than Russia TR. The index trades about -0.21 of its potential returns per unit of risk. The Russia TR is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest 117,403 in Russia TR on March 23, 2018 and sell it today you would lose (8,644) from holding Russia TR or give up 7.36% of portfolio value over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding NQPH and Russia TR in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russia TR and NQPH 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 NQPH 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 NQPH i.e. NQPH and Russia TR go up and down completely randomly.
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