This module allows you to analyze existing cross correlation between ATX and IBEX 35. You can compare the effects of market volatilities on ATX and IBEX 35 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 ATX with a short position of IBEX 35. See also your portfolio center. Please also check ongoing floating volatility patterns of ATX and IBEX 35.
Given the investment horizon of 30 days, ATX is expected to generate 0.71 times more return on investment than IBEX 35. However, ATX is 1.41 times less risky than IBEX 35. It trades about 0.1 of its potential returns per unit of risk. IBEX 35 is currently generating about 0.01 per unit of risk. If you would invest 324,620 in ATX on June 21, 2018 and sell it today you would earn a total of 6,234 from holding ATX or generate 1.92% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding ATX and IBEX 35 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IBEX 35 and ATX 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 ATX are associated (or correlated) with IBEX 35. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IBEX 35 has no effect on the direction of ATX i.e. ATX and IBEX 35 go up and down completely randomly.
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