Correlation Analysis Between DFA Real and NIKKEI 225

This module allows you to analyze existing cross correlation between DFA Real Estate Securities I and NIKKEI 225. You can compare the effects of market volatilities on DFA Real and NIKKEI 225 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 DFA Real with a short position of NIKKEI 225. See also your portfolio center. Please also check ongoing floating volatility patterns of DFA Real and NIKKEI 225.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

DFA Real Estate Securities I  vs.  NIKKEI 225

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, DFA Real is expected to generate 3.57 times less return on investment than NIKKEI 225. But when comparing it to its historical volatility, DFA Real Estate Securities I is 1.05 times less risky than NIKKEI 225. It trades about 0.03 of its potential returns per unit of risk. NIKKEI 225 is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  2,155,651  in NIKKEI 225 on March 25, 2019 and sell it today you would earn a total of  64,349  from holding NIKKEI 225 or generate 2.99% return on investment over 30 days.

Pair Corralation between DFA Real and NIKKEI 225

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for DFA Real and NIKKEI 225

DFA Real Estate Securities I diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding DFA Real Estate Securities I and NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 and DFA Real 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 DFA Real Estate Securities I are associated (or correlated) with NIKKEI 225. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIKKEI 225 has no effect on the direction of DFA Real i.e. DFA Real and NIKKEI 225 go up and down completely randomly.
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