Pair Correlation Between NYSE and Swiss Mrt

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

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to under-perform the Swiss Mrt. But the index apears to be less risky and, when comparing its historical volatility, NYSE is 2.14 times less risky than Swiss Mrt. The index trades about -0.02 of its potential returns per unit of risk. The Swiss Mrt is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  919,484  in Swiss Mrt on October 24, 2017 and sell it today you would earn a total of  9,700  from holding Swiss Mrt or generate 1.05% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NYSE and Swiss Mrt
0.29

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Modest diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns