Pair Correlation Between Russia TR and Straits Tms

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

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 2.61 times less return on investment than Straits Tms. In addition to that, Russia TR is 1.85 times more volatile than Straits Tms. It trades about 0.02 of its total potential returns per unit of risk. Straits Tms is currently generating about 0.11 per unit of volatility. If you would invest  334,073  in Straits Tms on October 20, 2017 and sell it today you would earn a total of  4,165  from holding Straits Tms or generate 1.25% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russia TR and Straits Tms
0.77

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy90.91%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns