Pair Correlation Between Russia TR and ATX

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

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 1.75 times more return on investment than ATX. However, Russia TR is 1.75 times more volatile than ATX. It trades about 0.13 of its potential returns per unit of risk. ATX is currently generating about -0.14 per unit of risk. If you would invest  99,969  in Russia TR on October 24, 2017 and sell it today you would earn a total of  3,154  from holding Russia TR or generate 3.15% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russia TR and ATX
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding Russia TR and ATX in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ATX and Russia 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 Russia 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 Russia TR i.e. Russia TR and ATX go up and down completely randomly.
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Comparative Volatility