Correlation Between DAX Index and Fortescue Metals
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By analyzing existing cross correlation between DAX Index and Fortescue Metals Group, you can compare the effects of market volatilities on DAX Index and Fortescue Metals 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 DAX Index with a short position of Fortescue Metals. Check out your portfolio center. Please also check ongoing floating volatility patterns of DAX Index and Fortescue Metals.
Diversification Opportunities for DAX Index and Fortescue Metals
0.0 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between DAX and Fortescue is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding DAX Index and Fortescue Metals Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fortescue Metals and DAX Index 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 DAX Index are associated (or correlated) with Fortescue Metals. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fortescue Metals has no effect on the direction of DAX Index i.e., DAX Index and Fortescue Metals go up and down completely randomly.
Pair Corralation between DAX Index and Fortescue Metals
Assuming the 90 days trading horizon DAX Index is expected to generate 0.4 times more return on investment than Fortescue Metals. However, DAX Index is 2.52 times less risky than Fortescue Metals. It trades about 0.54 of its potential returns per unit of risk. Fortescue Metals Group is currently generating about 0.15 per unit of risk. If you would invest 1,998,432 in DAX Index on October 25, 2024 and sell it today you would earn a total of 126,995 from holding DAX Index or generate 6.35% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Flat |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
DAX Index vs. Fortescue Metals Group
Performance |
| Timeline |
DAX Index and Fortescue Metals Volatility Contrast
Predicted Return Density |
| Returns |
DAX Index
Pair trading matchups for DAX Index
Fortescue Metals Group
Pair trading matchups for Fortescue Metals
Pair Trading with DAX Index and Fortescue Metals
The main advantage of trading using opposite DAX Index and Fortescue Metals positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if DAX Index position performs unexpectedly, Fortescue Metals 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 Fortescue Metals will offset losses from the drop in Fortescue Metals' long position.| DAX Index vs. Retail Estates NV | DAX Index vs. AEON STORES | DAX Index vs. BJs Wholesale Club | DAX Index vs. Nanjing Panda Electronics |
| Fortescue Metals vs. BHP Group Limited | Fortescue Metals vs. BHP Group Limited | Fortescue Metals vs. Rio Tinto Group | Fortescue Metals vs. Vale SA |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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