Pair Correlation Between FTSE MIB and DAX

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

Pair Volatility

Assuming 30 trading days horizon, FTSE MIB is expected to generate 0.59 times more return on investment than DAX. However, FTSE MIB is 1.7 times less risky than DAX. It trades about -0.2 of its potential returns per unit of risk. DAX is currently generating about -0.26 per unit of risk. If you would invest  2,363,081  in FTSE MIB on January 18, 2018 and sell it today you would lose (42,815)  from holding FTSE MIB or give up 1.81% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between FTSE MIB and DAX
-0.54

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy61.9%
ValuesDaily Returns

Diversification

Excellent diversification

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

 Predicted Return Density 
      Returns