Correlation Analysis Between Swiss Mrt and NIKKEI 225

This module allows you to analyze existing cross correlation between Swiss Mrt and NIKKEI 225. You can compare the effects of market volatilities on Swiss Mrt and NIKKEI 225 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 Swiss Mrt with a short position of NIKKEI 225. See also your portfolio center. Please also check ongoing floating volatility patterns of Swiss Mrt and NIKKEI 225.
Horizon     30 Days    Login   to change
Symbolsvs

Swiss Mrt  vs.  NIKKEI 225

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Swiss Mrt is expected to generate 0.75 times more return on investment than NIKKEI 225. However, Swiss Mrt is 1.33 times less risky than NIKKEI 225. It trades about -0.03 of its potential returns per unit of risk. NIKKEI 225 is currently generating about -0.15 per unit of risk. If you would invest  889,288  in Swiss Mrt on November 9, 2018 and sell it today you would lose (15,185)  from holding Swiss Mrt or give up 1.71% of portfolio value over 30 days.

Pair Corralation between Swiss Mrt and NIKKEI 225

-0.38
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy81.4%
ValuesDaily Returns

Diversification

Swiss Mrt diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Swiss Mrt and NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 and Swiss Mrt 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 Swiss Mrt are associated (or correlated) with NIKKEI 225. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIKKEI 225 has no effect on the direction of Swiss Mrt i.e. Swiss Mrt and NIKKEI 225 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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