Correlation Between Facebook and MOSCOW EXCHANGE

By analyzing existing cross correlation between Facebook and MOSCOW EXCHANGE, you can compare the effects of market volatilities on Facebook and MOSCOW EXCHANGE 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 Facebook with a short position of MOSCOW EXCHANGE. Check out your portfolio center. Please also check ongoing floating volatility patterns of Facebook and MOSCOW EXCHANGE.

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Can any of the company-specific risk be diversified away by investing in both Facebook and MOSCOW EXCHANGE at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Facebook and MOSCOW EXCHANGE into the same portfolio, which is an essential part of the fundamental portfolio management process.

Diversification Opportunities for Facebook and MOSCOW EXCHANGE

0.78
  Correlation Coefficient
Facebook
MOSCOW EXCHANGE

Poor diversification

The 3 months correlation between Facebook and MOSCOW is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Facebook Inc and MOSCOW EXCHANGE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MOSCOW EXCHANGE and Facebook 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 Facebook are associated (or correlated) with MOSCOW EXCHANGE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MOSCOW EXCHANGE has no effect on the direction of Facebook i.e. Facebook and MOSCOW EXCHANGE go up and down completely randomly.

Pair Corralation between Facebook and MOSCOW EXCHANGE

Allowing for the 30-days total investment horizon, Facebook is expected to generate 0.88 times more return on investment than MOSCOW EXCHANGE. However, Facebook is 1.13 times less risky than MOSCOW EXCHANGE. It trades about 0.22 of its potential returns per unit of risk. MOSCOW EXCHANGE is currently generating about 0.11 per unit of risk. If you would invest  17,479  in Facebook on June 10, 2020 and sell it today you would earn a total of  6,971  from holding Facebook or generate 39.88% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy82.54%
ValuesDaily Returns

Facebook Inc  vs.  MOSCOW EXCHANGE

 Performance (%) 
      Timeline 
Facebook 
1515

Facebook Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Facebook are ranked lower than 15 (%) of all global equities and portfolios over the last 30 days. Despite somewhat weak basic indicators, Facebook sustained solid returns over the last few months and may actually be approaching a breakup point.
MOSCOW EXCHANGE 
77

MOSCOW EXCHANGE Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in MOSCOW EXCHANGE are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days. In spite of rather weak fundamental drivers, MOSCOW EXCHANGE exhibited solid returns over the last few months and may actually be approaching a breakup point.

Facebook and MOSCOW EXCHANGE Volatility Contrast

 Predicted Return Density 
      Returns 
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