Correlation Analysis Between XU100 and Nasdaq

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

XU100  vs.  Nasdaq

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the Nasdaq. In addition to that, XU100 is 1.03 times more volatile than Nasdaq. It trades about -0.14 of its total potential returns per unit of risk. Nasdaq is currently generating about -0.06 per unit of volatility. If you would invest  749,689  in Nasdaq on November 12, 2018 and sell it today you would lose (39,858)  from holding Nasdaq or give up 5.32% of portfolio value over 30 days.

Pair Corralation between XU100 and Nasdaq

0.6
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy63.41%
ValuesDaily Returns

Diversification

XU100 diversification synergy

Poor diversification

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

 Predicted Return Density 
      Returns 

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Alphabet
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ExchangeNASDAQ
$1063.68

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