Pair Correlation Between Russia TR and Nasdaq

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

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 1.68 times more return on investment than Nasdaq. However, Russia TR is 1.68 times more volatile than Nasdaq. It trades about 0.57 of its potential returns per unit of risk. Nasdaq is currently generating about 0.31 per unit of risk. If you would invest  103,334  in Russia TR on December 17, 2017 and sell it today you would earn a total of  12,519  from holding Russia TR or generate 12.12% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russia TR and Nasdaq
0.95

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy86.36%
ValuesDaily Returns

Diversification

Almost no diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns