Pair Correlation Between XU100 and Russia TR

This module allows you to analyze existing cross correlation between XU100 and Russia TR. You can compare the effects of market volatilities on XU100 and Russia TR 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 Russia TR. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and Russia TR.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 XU100  vs   Russia TR
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the Russia TR. In addition to that, XU100 is 1.31 times more volatile than Russia TR. It trades about -0.1 of its total potential returns per unit of risk. Russia TR is currently generating about 0.0 per unit of volatility. If you would invest  100,206  in Russia TR on October 22, 2017 and sell it today you would lose (45)  from holding Russia TR or give up 0.04% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and Russia TR
0.3

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Weak diversification

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

 Predicted Return Density 
      Returns