Correlation Analysis Between XU100 and SP 500

This module allows you to analyze existing cross correlation between XU100 and S&P 500. You can compare the effects of market volatilities on XU100 and SP 500 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 XU100 with a short position of SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and SP 500.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

XU100  vs.  S&P 500

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the SP 500. In addition to that, XU100 is 2.29 times more volatile than S&P 500. It trades about -0.14 of its total potential returns per unit of risk. S&P 500 is currently generating about -0.02 per unit of volatility. If you would invest  290,797  in S&P 500 on May 19, 2019 and sell it today you would lose (2,099)  from holding S&P 500 or give up 0.72% of portfolio value over 30 days.

Pair Corralation between XU100 and SP 500

0.77
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy60.0%
ValuesDaily Returns

Diversification Opportunities for XU100 and SP 500

XU100 diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 and XU100 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 XU100 are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of XU100 i.e. XU100 and SP 500 go up and down completely randomly.
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