This module allows you to analyze existing cross correlation between DOW and Swiss Mrt. You can compare the effects of market volatilities on DOW and Swiss Mrt 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 Swiss Mrt. See also your portfolio center
. Please also check ongoing floating volatility patterns of DOW
and Swiss Mrt
DOW vs. Swiss Mrt
Given the investment horizon of 30 days, DOW is expected to generate 7.33 times less return on investment than Swiss Mrt. But when comparing it to its historical volatility, DOW is 1.32 times less risky than Swiss Mrt. It trades about 0.03 of its potential returns per unit of risk. Swiss Mrt is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 851,957 in Swiss Mrt on June 18, 2018 and sell it today you would earn a total of 37,595 from holding Swiss Mrt or generate 4.41% return on investment over 30 days.
Pair Corralation between DOW and Swiss Mrt
|Time Period||1 Month [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding DOW and Swiss Mrt in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Swiss Mrt 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 Swiss Mrt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Mrt has no effect on the direction of DOW i.e. DOW and Swiss Mrt go up and down completely randomly.
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