Correlation Analysis Between Russia TR and NIKKEI 225

This module allows you to analyze existing cross correlation between Russia TR and NIKKEI 225. You can compare the effects of market volatilities on Russia TR and NIKKEI 225 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 NIKKEI 225. See also your portfolio center. Please also check ongoing floating volatility patterns of Russia TR and NIKKEI 225.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Russia TR  vs.  NIKKEI 225

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to under-perform the NIKKEI 225. In addition to that, Russia TR is 1.56 times more volatile than NIKKEI 225. It trades about -0.2 of its total potential returns per unit of risk. NIKKEI 225 is currently generating about -0.14 per unit of volatility. If you would invest  2,300,237  in NIKKEI 225 on May 21, 2018 and sell it today you would lose (71,495)  from holding NIKKEI 225 or give up 3.11% of portfolio value over 30 days.

Pair Corralation between Russia TR and NIKKEI 225

0.69
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 Russia TR and NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 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 NIKKEI 225. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIKKEI 225 has no effect on the direction of Russia TR i.e. Russia TR and NIKKEI 225 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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