Pair Correlation Between Stockholm and Madrid Gnrl

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

Pair Volatility

Assuming 30 trading days horizon, Stockholm is expected to under-perform the Madrid Gnrl. But the index apears to be less risky and, when comparing its historical volatility, Stockholm is 1.61 times less risky than Madrid Gnrl. The index trades about -0.15 of its potential returns per unit of risk. The Madrid Gnrl is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest  102,390  in Madrid Gnrl on October 25, 2017 and sell it today you would lose (1,271)  from holding Madrid Gnrl or give up 1.24% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Stockholm and Madrid Gnrl
0.83

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy91.3%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns