This module allows you to analyze existing cross correlation between XU100 and DOW. You can compare the effects of market volatilities on XU100 and DOW 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 DOW. See also your portfolio center
. Please also check ongoing floating volatility patterns of XU100
XU100 vs. DOW
Assuming 30 trading days horizon, XU100 is expected to under-perform the DOW. But the index apears to be less risky and, when comparing its historical volatility, XU100 is 1.48 times less risky than DOW. The index trades about -0.15 of its potential returns per unit of risk. The DOW is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 2,530,999 in DOW on March 25, 2018 and sell it today you would lose (86,130) from holding DOW or give up 3.4% of portfolio value over 30 days.
Pair Corralation between XU100 and DOW
|Time Period||2 Months [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding XU100 and DOW in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DOW 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 DOW. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DOW has no effect on the direction of XU100 i.e. XU100 and DOW go up and down completely randomly.
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