Correlation Analysis Between ETFS Wheat and Nordea Bank

This module allows you to analyze existing cross correlation between ETFS Wheat ETC and Nordea Bank AB. You can compare the effects of market volatilities on ETFS Wheat and Nordea Bank 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 ETFS Wheat with a short position of Nordea Bank. See also your portfolio center. Please also check ongoing floating volatility patterns of ETFS Wheat and Nordea Bank.
 Time Horizon     30 Days    Login   to change
Symbolsvs

ETFS Commodity Securities Ltd   vs.  Nordea Bank AB 0JNL

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, ETFS Wheat ETC is expected to generate 3.72 times more return on investment than Nordea Bank. However, ETFS Wheat is 3.72 times more volatile than Nordea Bank AB. It trades about 0.15 of its potential returns per unit of risk. Nordea Bank AB is currently generating about 0.16 per unit of risk. If you would invest  66.45  in ETFS Wheat ETC on July 21, 2018 and sell it today you would earn a total of  4.35  from holding ETFS Wheat ETC or generate 6.55% return on investment over 30 days.

Pair Corralation between ETFS Wheat and Nordea Bank

0.66
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
ETFS Commodity Secur  
9 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in ETFS Wheat ETC are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days.
Nordea Bank AB  
10 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Nordea Bank AB are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.

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