Pair Correlation Between FTSE MIB and NQPH

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

Pair Volatility

Assuming 30 trading days horizon, FTSE MIB is expected to generate 1.01 times more return on investment than NQPH. However, FTSE MIB is 1.01 times more volatile than NQPH. It trades about 0.5 of its potential returns per unit of risk. NQPH is currently generating about 0.25 per unit of risk. If you would invest  2,220,127  in FTSE MIB on December 23, 2017 and sell it today you would earn a total of  154,795  from holding FTSE MIB or generate 6.97% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between FTSE MIB and NQPH
0.55

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy80.95%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns