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

 Predicted Return Density 
      Returns 

NASDAQ Italy  vs.  S&P 500

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NASDAQ Italy is expected to generate 1.95 times less return on investment than SP 500. But when comparing it to its historical volatility, NASDAQ Italy is 1.36 times less risky than SP 500. It trades about 0.2 of its potential returns per unit of risk. S&P 500 is currently generating about 0.29 of returns per unit of risk over similar time horizon. If you would invest  235,110  in S&P 500 on January 21, 2019 and sell it today you would earn a total of  43,360  from holding S&P 500 or generate 18.44% return on investment over 30 days.

Pair Corralation between NASDAQ Italy and SP 500

0.71
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy97.22%
ValuesDaily Returns

Diversification Opportunities for NASDAQ Italy and SP 500

NASDAQ Italy diversification synergy

Poor diversification

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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