Correlation Analysis Between DEUTSCHE BOERSE and CME

Analyzing existing cross correlation between DEUTSCHE BOERSE AG and CME Group. You can compare the effects of market volatilities on DEUTSCHE BOERSE and CME 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 DEUTSCHE BOERSE with a short position of CME. See also your portfolio center. Please also check ongoing floating volatility patterns of DEUTSCHE BOERSE and CME.
Horizon     30 Days    Login   to change
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Comparative Performance

DEUTSCHE BOERSE AG  
33

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in DEUTSCHE BOERSE AG are ranked lower than 3 (%) of all global equities and portfolios over the last 30 days. In spite of rather sound fundamental drivers, DEUTSCHE BOERSE is not utilizing all of its potentials. The prevalent stock price tumult, may contribute to shorter-term losses for the shareholders.
CME Group  
55

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in CME Group are ranked lower than 5 (%) of all global equities and portfolios over the last 30 days. In spite of rather sound fundamental drivers, CME is not utilizing all of its potentials. The latest stock price tumult, may contribute to shorter-term losses for the shareholders.

DEUTSCHE BOERSE and CME Volatility Contrast

 Predicted Return Density 
    
  Returns 

DEUTSCHE BOERSE AG  vs.  CME Group

 Performance (%) 
    
  Timeline 

Pair Volatility

Assuming 30 trading days horizon, DEUTSCHE BOERSE AG is expected to generate 1.94 times more return on investment than CME. However, DEUTSCHE BOERSE is 1.94 times more volatile than CME Group. It trades about 0.05 of its potential returns per unit of risk. CME Group is currently generating about 0.08 per unit of risk. If you would invest  15,871  in DEUTSCHE BOERSE AG on December 26, 2019 and sell it today you would earn a total of  725.00  from holding DEUTSCHE BOERSE AG or generate 4.57% return on investment over 30 days.

Pair Corralation between DEUTSCHE BOERSE and CME

0.51
Time Period3 Months [change]
DirectionPositive 
StrengthWeak
Accuracy95.38%
ValuesDaily Returns

Diversification Opportunities for DEUTSCHE BOERSE and CME

DEUTSCHE BOERSE AG diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding DEUTSCHE BOERSE AG and CME Group in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CME Group and DEUTSCHE BOERSE 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 DEUTSCHE BOERSE AG are associated (or correlated) with CME. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CME Group has no effect on the direction of DEUTSCHE BOERSE i.e. DEUTSCHE BOERSE and CME go up and down completely randomly.
See also your portfolio center. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..