Pair Correlation Between iShares Italy and Facebook

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

Pair Volatility

Assuming 30 trading days horizon, iShares Italy is expected to generate 2.35 times less return on investment than Facebook. But when comparing it to its historical volatility, iShares Italy Government Bond is 4.72 times less risky than Facebook. It trades about 0.2 of its potential returns per unit of risk. Facebook Inc is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  17,456  in Facebook Inc on October 19, 2017 and sell it today you would earn a total of  444  from holding Facebook Inc or generate 2.54% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between iShares Italy and Facebook
0.75

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

iShares Italy Govern

  
13 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in iShares Italy Government Bond are ranked lower than 13 (%) of all global equities and portfolios over the last 30 days.

Facebook Inc

  
6 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Facebook Inc are ranked lower than 6 (%) of all global equities and portfolios over the last 30 days.