Pair Correlation Between FTSE MIB and ISEQ

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

Pair Volatility

Assuming 30 trading days horizon, FTSE MIB is expected to generate 5.46 times less return on investment than ISEQ. But when comparing it to its historical volatility, FTSE MIB is 1.24 times less risky than ISEQ. It trades about 0.03 of its potential returns per unit of risk. ISEQ is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  674,746  in ISEQ on October 19, 2017 and sell it today you would earn a total of  14,881  from holding ISEQ or generate 2.21% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between FTSE MIB and ISEQ
0.74

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy90.91%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns