Correlation Analysis Between XU100 and All Ords

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

XU100  vs.  All Ords

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the All Ords. In addition to that, XU100 is 2.21 times more volatile than All Ords. It trades about -0.14 of its total potential returns per unit of risk. All Ords is currently generating about -0.02 per unit of volatility. If you would invest  594,800  in All Ords on October 14, 2018 and sell it today you would lose (3,340)  from holding All Ords or give up 0.56% of portfolio value over 30 days.

Pair Corralation between XU100 and All Ords

0.32
Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy66.67%
ValuesDaily Returns

Diversification

XU100 diversification synergy

Weak diversification

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

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1036.05

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