Correlation Between WIG 30 and CROBEX
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By analyzing existing cross correlation between WIG 30 and CROBEX, you can compare the effects of market volatilities on WIG 30 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 WIG 30 with a short position of CROBEX. Check out your portfolio center. Please also check ongoing floating volatility patterns of WIG 30 and CROBEX.
Diversification Opportunities for WIG 30 and CROBEX
Pay attention - limited upside
The 3 months correlation between WIG and CROBEX is -0.76. Overlapping area represents the amount of risk that can be diversified away by holding WIG 30 and CROBEX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CROBEX and WIG 30 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 WIG 30 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 WIG 30 i.e., WIG 30 and CROBEX go up and down completely randomly.
Pair Corralation between WIG 30 and CROBEX
Assuming the 90 days trading horizon WIG 30 is expected to under-perform the CROBEX. In addition to that, WIG 30 is 3.99 times more volatile than CROBEX. It trades about -0.1 of its total potential returns per unit of risk. CROBEX is currently generating about 0.55 per unit of volatility. If you would invest 304,179 in CROBEX on August 30, 2024 and sell it today you would earn a total of 12,509 from holding CROBEX or generate 4.11% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
WIG 30 vs. CROBEX
Performance |
Timeline |
WIG 30 and CROBEX Volatility Contrast
Predicted Return Density |
Returns |
WIG 30
Pair trading matchups for WIG 30
CROBEX
Pair trading matchups for CROBEX
Pair Trading with WIG 30 and CROBEX
The main advantage of trading using opposite WIG 30 and CROBEX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if WIG 30 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.WIG 30 vs. Carlson Investments SA | WIG 30 vs. Quantum Software SA | WIG 30 vs. BNP Paribas Bank | WIG 30 vs. PLAYWAY 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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