Correlation Analysis Between NASDAQ Italy and SP 500

This module allows you to analyze existing cross correlation between NASDAQ Italy and S&P 500. You can compare the effects of market volatilities on NASDAQ Italy and SP 500 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 NASDAQ Italy with a short position of SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of NASDAQ Italy and SP 500.
Horizon     30 Days    Login   to change
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Comparative Performance

NASDAQ Italy  vs.  S&P 500

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NASDAQ Italy is expected to under-perform the SP 500. In addition to that, NASDAQ Italy is 1.19 times more volatile than S&P 500. It trades about -0.19 of its total potential returns per unit of risk. S&P 500 is currently generating about -0.02 per unit of volatility. If you would invest  290,797  in S&P 500 on May 19, 2019 and sell it today you would lose (2,099)  from holding S&P 500 or give up 0.72% of portfolio value over 30 days.

Pair Corralation between NASDAQ Italy and SP 500

0.0
Time Period2 Months [change]
DirectionFlat 
StrengthInsignificant
Accuracy97.5%
ValuesDaily Returns

Diversification Opportunities for NASDAQ Italy and SP 500

NASDAQ Italy diversification synergy

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding NASDAQ Italy and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 and NASDAQ Italy 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 NASDAQ Italy are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of NASDAQ Italy i.e. NASDAQ Italy and SP 500 go up and down completely randomly.
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