Pair Correlation Between FTSE MIB and Nasdaq

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

Pair Volatility

Assuming 30 trading days horizon, FTSE MIB is expected to generate 1.55 times more return on investment than Nasdaq. However, FTSE MIB is 1.55 times more volatile than Nasdaq. It trades about 0.3 of its potential returns per unit of risk. Nasdaq is currently generating about 0.31 per unit of risk. If you would invest  2,239,053  in FTSE MIB on December 17, 2017 and sell it today you would earn a total of  103,930  from holding FTSE MIB or generate 4.64% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between FTSE MIB and Nasdaq
0.63

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy94.74%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns