This module allows you to analyze existing cross correlation between ATX and ISEQ. You can compare the effects of market volatilities on ATX and ISEQ 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 ISEQ. See also your portfolio center. Please also check ongoing floating volatility patterns of ATX and ISEQ.
|Horizon||30 Days Login to change|
Predicted Return Density
ATX vs. ISEQ
Given the investment horizon of 30 days, ATX is expected to generate 1.66 times less return on investment than ISEQ. But when comparing it to its historical volatility, ATX is 1.5 times less risky than ISEQ. It trades about 0.06 of its potential returns per unit of risk. ISEQ is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 627,707 in ISEQ on September 16, 2019 and sell it today you would earn a total of 33,688 from holding ISEQ or generate 5.37% return on investment over 30 days.
Pair Corralation between ATX and ISEQ
|Time Period||3 Months [change]|
Diversification Opportunities for ATX and ISEQ
Overlapping area represents the amount of risk that can be diversified away by holding ATX and ISEQ in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ISEQ 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 ISEQ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ISEQ has no effect on the direction of ATX i.e. ATX and ISEQ go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.