Correlation Analysis Between FTSE MIB and XU100

This module allows you to analyze existing cross correlation between FTSE MIB and XU100. You can compare the effects of market volatilities on FTSE MIB and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of FTSE MIB and XU100.
 Time Horizon     30 Days    Login   to change
Symbolsvs

FTSE MIB  vs.  XU100

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, FTSE MIB is expected to under-perform the XU100. In addition to that, FTSE MIB is 34.18 times more volatile than XU100. It trades about -0.58 of its total potential returns per unit of risk. XU100 is currently generating about -0.14 per unit of volatility. If you would invest  10,225,765  in XU100 on May 21, 2018 and sell it today you would lose (770,579)  from holding XU100 or give up 7.54% of portfolio value over 30 days.

Pair Corralation between FTSE MIB and XU100

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy9.68%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding FTSE MIB and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of FTSE MIB i.e. FTSE MIB and XU100 go up and down completely randomly.
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Comparative Volatility

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