Correlation Analysis Between Stockholm and FTSE MIB

This module allows you to analyze existing cross correlation between Stockholm and FTSE MIB. You can compare the effects of market volatilities on Stockholm 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 Stockholm with a short position of FTSE MIB. See also your portfolio center. Please also check ongoing floating volatility patterns of Stockholm and FTSE MIB.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Stockholm  vs.  FTSE MIB

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Stockholm is expected to generate 0.01 times more return on investment than FTSE MIB. However, Stockholm is 95.67 times less risky than FTSE MIB. It trades about 0.19 of its potential returns per unit of risk. FTSE MIB is currently generating about -0.58 per unit of risk. If you would invest  57,601  in Stockholm on April 21, 2018 and sell it today you would earn a total of  1,809  from holding Stockholm or generate 3.14% return on investment over 30 days.

Pair Corralation between Stockholm and FTSE MIB

-0.83
Time Period1 Month [change]
DirectionNegative 
StrengthSignificant
Accuracy11.11%
ValuesDaily Returns

Diversification

Pay attention

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.