This module allows you to analyze existing cross correlation between Stockholm and ATX. You can compare the effects of market volatilities on Stockholm and ATX 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 Stockholm with a short position of ATX. See also your portfolio center. Please also check ongoing floating volatility patterns of Stockholm and ATX.
|Horizon||30 Days Login to change|
Predicted Return Density
Stockholm vs. ATX
Assuming 30 trading days horizon, Stockholm is expected to generate 1.22 times more return on investment than ATX. However, Stockholm is 1.22 times more volatile than ATX. It trades about -0.06 of its potential returns per unit of risk. ATX is currently generating about -0.4 per unit of risk. If you would invest 61,690 in Stockholm on May 17, 2019 and sell it today you would lose (1,415) from holding Stockholm or give up 2.29% of portfolio value over 30 days.
Pair Corralation between Stockholm and ATX
|Time Period||2 Months [change]|
Diversification Opportunities for Stockholm and ATX
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Stockholm and ATX in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ATX and Stockholm 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 Stockholm are associated (or correlated) with ATX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATX has no effect on the direction of Stockholm i.e. Stockholm and ATX go up and down completely randomly.
See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.