Pair Correlation Between FTSE MIB and NQEGT

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

Pair Volatility

Assuming 30 trading days horizon, FTSE MIB is expected to under-perform the NQEGT. But the index apears to be less risky and, when comparing its historical volatility, FTSE MIB is 1.21 times less risky than NQEGT. The index trades about -0.06 of its potential returns per unit of risk. The NQEGT is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  102,819  in NQEGT on October 18, 2017 and sell it today you would earn a total of  1,768  from holding NQEGT or generate 1.72% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between FTSE MIB and NQEGT
0.0

Parameters

Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy90.91%
ValuesDaily Returns

Diversification

Pay attention

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

Comparative Volatility