Correlation Analysis Between Russia TR and Swiss Mrt

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

Russia TR  vs.  Swiss Mrt

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 1.25 times more return on investment than Swiss Mrt. However, Russia TR is 1.25 times more volatile than Swiss Mrt. It trades about 0.33 of its potential returns per unit of risk. Swiss Mrt is currently generating about 0.1 per unit of risk. If you would invest  106,386  in Russia TR on June 15, 2018 and sell it today you would earn a total of  9,275  from holding Russia TR or generate 8.72% return on investment over 30 days.

Pair Corralation between Russia TR and Swiss Mrt

0.47
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy82.14%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns 

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