Pair Correlation Between Straits Tms and DAX

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

Pair Volatility

Given the investment horizon of 30 days, Straits Tms is expected to generate 0.85 times more return on investment than DAX. However, Straits Tms is 1.18 times less risky than DAX. It trades about 0.21 of its potential returns per unit of risk. DAX is currently generating about 0.03 per unit of risk. If you would invest  334,388  in Straits Tms on October 25, 2017 and sell it today you would earn a total of  7,950  from holding Straits Tms or generate 2.38% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Straits Tms and DAX
-0.26

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy81.82%
ValuesDaily Returns

Diversification

Very good diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns