Correlation Analysis Between XU100 and Swiss Mrt

This module allows you to analyze existing cross correlation between XU100 and Swiss Mrt. You can compare the effects of market volatilities on XU100 and Swiss Mrt 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 Swiss Mrt. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and Swiss Mrt.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

XU100  vs.  Swiss Mrt

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the Swiss Mrt. In addition to that, XU100 is 2.55 times more volatile than Swiss Mrt. It trades about -0.14 of its total potential returns per unit of risk. Swiss Mrt is currently generating about 0.1 per unit of volatility. If you would invest  959,660  in Swiss Mrt on May 17, 2019 and sell it today you would earn a total of  25,101  from holding Swiss Mrt or generate 2.62% return on investment over 30 days.

Pair Corralation between XU100 and Swiss Mrt

-0.22
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy63.16%
ValuesDaily Returns

Diversification Opportunities for XU100 and Swiss Mrt

XU100 diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and Swiss Mrt in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Swiss Mrt 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 Swiss Mrt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Mrt has no effect on the direction of XU100 i.e. XU100 and Swiss Mrt go up and down completely randomly.
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See also your portfolio center. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.


 
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