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This module allows you to analyze existing cross correlation between Russia TR and XU100. You can compare the effects of market volatilities on Russia TR and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of Russia TR and XU100.
|Horizon||30 Days Login to change|
Predicted Return Density
Russia TR vs. XU100
Assuming 30 trading days horizon, Russia TR is expected to generate 0.76 times more return on investment than XU100. However, Russia TR is 1.32 times less risky than XU100. It trades about -0.01 of its potential returns per unit of risk. XU100 is currently generating about -0.19 per unit of risk. If you would invest 121,510 in Russia TR on November 16, 2018 and sell it today you would lose (1,283) from holding Russia TR or give up 1.06% of portfolio value over 30 days.
Pair Corralation between Russia TR and XU100
|Time Period||2 Months [change]|
Diversification Opportunities for Russia TR and XU100
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Russia TR and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of Russia TR i.e. Russia TR and XU100 go up and down completely randomly.