This module allows you to analyze existing cross correlation between NIKKEI 225 and XU100. You can compare the effects of market volatilities on NIKKEI 225 and XU100 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 NIKKEI 225 with a short position of XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of NIKKEI 225 and XU100.
|Horizon||30 Days Login to change|
Predicted Return Density
NIKKEI 225 vs. XU100
Assuming 30 trading days horizon, NIKKEI 225 is expected to under-perform the XU100. But the index apears to be less risky and, when comparing its historical volatility, NIKKEI 225 is 2.31 times less risky than XU100. The index trades about -0.16 of its potential returns per unit of risk. The XU100 is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest 9,580,351 in XU100 on May 25, 2019 and sell it today you would lose (62,102) from holding XU100 or give up 0.65% of portfolio value over 30 days.
Pair Corralation between NIKKEI 225 and XU100
|Time Period||2 Months [change]|
Diversification Opportunities for NIKKEI 225 and XU100
Overlapping area represents the amount of risk that can be diversified away by holding NIKKEI 225 and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 and NIKKEI 225 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 NIKKEI 225 are associated (or correlated) with XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of NIKKEI 225 i.e. NIKKEI 225 and XU100 go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.