Pair Correlation Between NYSE and Swiss Mrt

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

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to generate 1.38 times more return on investment than Swiss Mrt. However, NYSE is 1.38 times more volatile than Swiss Mrt. It trades about -0.14 of its potential returns per unit of risk. Swiss Mrt is currently generating about -0.27 per unit of risk. If you would invest  1,347,038  in NYSE on January 21, 2018 and sell it today you would lose (59,602)  from holding NYSE or give up 4.42% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between NYSE and Swiss Mrt
0.88

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding NYSE and Swiss Mrt in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Swiss Mrt and NYSE 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 NYSE 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 NYSE i.e. NYSE and Swiss Mrt go up and down completely randomly.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns