Correlation Analysis 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 under-perform the DAX. In addition to that, FTSE MIB is 89.14 times more volatile than DAX. It trades about -0.58 of its total potential returns per unit of risk. DAX is currently generating about 0.19 per unit of volatility. If you would invest  1,255,082  in DAX on April 24, 2018 and sell it today you would earn a total of  42,444  from holding DAX or generate 3.38% return on investment over 30 days.

Pair Corralation between FTSE MIB and DAX

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy10.71%
ValuesDaily Returns

Diversification

Pay attention

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

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