Correlation Analysis Between Russia TR and SP 500

This module allows you to analyze existing cross correlation between Russia TR and S&P 500. You can compare the effects of market volatilities on Russia TR and SP 500 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 SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of Russia TR and SP 500.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Russia TR  vs.  S&P 500

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to under-perform the SP 500. In addition to that, Russia TR is 2.26 times more volatile than S&P 500. It trades about -0.06 of its total potential returns per unit of risk. S&P 500 is currently generating about 0.0 per unit of volatility. If you would invest  271,490  in S&P 500 on May 26, 2018 and sell it today you would lose (44.00)  from holding S&P 500 or give up 0.02% of portfolio value over 30 days.

Pair Corralation between Russia TR and SP 500

-0.32
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russia TR and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 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 SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of Russia TR i.e. Russia TR and SP 500 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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ExchangeNASDAQ
$1114.16

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See also your portfolio center. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.