Correlation Analysis Between FTSE MIB and Greece TR

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

FTSE MIB  vs.  Greece TR

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, FTSE MIB is expected to under-perform the Greece TR. In addition to that, FTSE MIB is 32.83 times more volatile than Greece TR. It trades about -0.71 of its total potential returns per unit of risk. Greece TR is currently generating about -0.04 per unit of volatility. If you would invest  53,727  in Greece TR on May 21, 2018 and sell it today you would lose (1,562)  from holding Greece TR or give up 2.91% of portfolio value over 30 days.

Pair Corralation between FTSE MIB and Greece TR

-0.78
Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy6.9%
ValuesDaily Returns

Diversification

Pay attention

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.