Pair Correlation Between Russia TR and FTSE MIB

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

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 2.34 times more return on investment than FTSE MIB. However, Russia TR is 2.34 times more volatile than FTSE MIB. It trades about 0.02 of its potential returns per unit of risk. FTSE MIB is currently generating about -0.57 per unit of risk. If you would invest  117,992  in Russia TR on January 26, 2018 and sell it today you would earn a total of  655.92  from holding Russia TR or generate 0.56% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russia TR and FTSE MIB
-0.5

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy33.33%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns