Correlation Between Austrian Traded and CROBEX
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By analyzing existing cross correlation between Austrian Traded Index and CROBEX, you can compare the effects of market volatilities on Austrian Traded and CROBEX 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 Austrian Traded with a short position of CROBEX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Austrian Traded and CROBEX.
Diversification Opportunities for Austrian Traded and CROBEX
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Austrian and CROBEX is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Austrian Traded Index and CROBEX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CROBEX and Austrian Traded 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 Austrian Traded Index are associated (or correlated) with CROBEX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CROBEX has no effect on the direction of Austrian Traded i.e., Austrian Traded and CROBEX go up and down completely randomly.
Pair Corralation between Austrian Traded and CROBEX
Assuming the 90 days trading horizon Austrian Traded is expected to generate 1.38 times less return on investment than CROBEX. In addition to that, Austrian Traded is 1.24 times more volatile than CROBEX. It trades about 0.16 of its total potential returns per unit of risk. CROBEX is currently generating about 0.27 per unit of volatility. If you would invest 239,786 in CROBEX on February 4, 2024 and sell it today you would earn a total of 41,619 from holding CROBEX or generate 17.36% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 99.2% |
Values | Daily Returns |
Austrian Traded Index vs. CROBEX
Performance |
Timeline |
Austrian Traded and CROBEX Volatility Contrast
Predicted Return Density |
Returns |
Austrian Traded Index
Pair trading matchups for Austrian Traded
CROBEX
Pair trading matchups for CROBEX
Pair Trading with Austrian Traded and CROBEX
The main advantage of trading using opposite Austrian Traded and CROBEX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Austrian Traded position performs unexpectedly, CROBEX can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in CROBEX will offset losses from the drop in CROBEX's long position.Austrian Traded vs. AMAG Austria Metall | Austrian Traded vs. CNH Industrial NV | Austrian Traded vs. Wiener Privatbank SE | Austrian Traded vs. Universal Music Group |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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