Correlation Analysis Between NASDAQ Italy and Swiss Mrt

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

 Predicted Return Density 
      Returns 

NASDAQ Italy  vs.  Swiss Mrt

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NASDAQ Italy is expected to generate 1.2 times less return on investment than Swiss Mrt. In addition to that, NASDAQ Italy is 1.22 times more volatile than Swiss Mrt. It trades about 0.18 of its total potential returns per unit of risk. Swiss Mrt is currently generating about 0.27 per unit of volatility. If you would invest  841,729  in Swiss Mrt on January 20, 2019 and sell it today you would earn a total of  83,888  from holding Swiss Mrt or generate 9.97% return on investment over 30 days.

Pair Corralation between NASDAQ Italy and Swiss Mrt

0.72
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy91.89%
ValuesDaily Returns

Diversification Opportunities for NASDAQ Italy and Swiss Mrt

NASDAQ Italy diversification synergy

Poor diversification

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