Correlation Analysis Between ISEQ and Russia TR

This module allows you to analyze existing cross correlation between ISEQ and Russia TR. You can compare the effects of market volatilities on ISEQ 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 ISEQ with a short position of Russia TR. See also your portfolio center. Please also check ongoing floating volatility patterns of ISEQ and Russia TR.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

ISEQ  vs.  Russia TR

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, ISEQ is expected to generate 1.21 times more return on investment than Russia TR. However, ISEQ is 1.21 times more volatile than Russia TR. It trades about 0.27 of its potential returns per unit of risk. Russia TR is currently generating about 0.3 per unit of risk. If you would invest  538,370  in ISEQ on January 20, 2019 and sell it today you would earn a total of  59,321  from holding ISEQ or generate 11.02% return on investment over 30 days.

Pair Corralation between ISEQ and Russia TR

Time Period2 Months [change]
StrengthVery Strong
ValuesDaily Returns

Diversification Opportunities for ISEQ and Russia TR

ISEQ diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding ISEQ and Russia TR in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russia TR and ISEQ 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 ISEQ 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 ISEQ i.e. ISEQ and Russia TR go up and down completely randomly.

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See also your portfolio center. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.