This module allows you to analyze existing cross correlation between DOW and Russia TR. You can compare the effects of market volatilities on DOW 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 DOW with a short position of Russia TR. See also your portfolio center
. Please also check ongoing floating volatility patterns of DOW
and Russia TR
DOW vs. Russia TR
Given the investment horizon of 30 days, DOW is expected to generate 2.53 times less return on investment than Russia TR. But when comparing it to its historical volatility, DOW is 1.85 times less risky than Russia TR. It trades about 0.15 of its potential returns per unit of risk. Russia TR is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest 106,093 in Russia TR on June 21, 2018 and sell it today you would earn a total of 5,694 from holding Russia TR or generate 5.37% return on investment over 30 days.
Pair Corralation between DOW and Russia TR
|Time Period||1 Month [change]|
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding DOW and Russia TR in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russia TR and DOW 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 DOW 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 DOW i.e. DOW and Russia TR go up and down completely randomly.
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