Pair Correlation Between Russia TR and Greece TR

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

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to under-perform the Greece TR. In addition to that, Russia TR is 1.09 times more volatile than Greece TR. It trades about -0.03 of its total potential returns per unit of risk. Greece TR is currently generating about 0.03 per unit of volatility. If you would invest  62,547  in Greece TR on January 19, 2018 and sell it today you would earn a total of  425.00  from holding Greece TR or generate 0.68% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russia TR and Greece TR
0.72

Parameters

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

 Predicted Return Density 
      Returns