Correlation Analysis Between Deep Value and NIKKEI 225

This module allows you to analyze existing cross correlation between Deep Value ETF and NIKKEI 225. You can compare the effects of market volatilities on Deep Value 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 Deep Value with a short position of NIKKEI 225. See also your portfolio center. Please also check ongoing floating volatility patterns of Deep Value and NIKKEI 225.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

Deep Value ETF  vs.  NIKKEI 225

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, Deep Value ETF is expected to generate 0.91 times more return on investment than NIKKEI 225. However, Deep Value ETF is 1.09 times less risky than NIKKEI 225. It trades about 0.08 of its potential returns per unit of risk. NIKKEI 225 is currently generating about -0.07 per unit of risk. If you would invest  3,048  in Deep Value ETF on June 19, 2019 and sell it today you would earn a total of  105.72  from holding Deep Value ETF or generate 3.47% return on investment over 30 days.

Pair Corralation between Deep Value and NIKKEI 225

0.59
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy83.72%
ValuesDaily Returns

Diversification Opportunities for Deep Value and NIKKEI 225

Deep Value ETF diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Deep Value ETF and NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 and Deep Value 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 Deep Value ETF 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 Deep Value i.e. Deep Value and NIKKEI 225 go up and down completely randomly.
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