This module allows you to analyze existing cross correlation between ATX and IPC. You can compare the effects of market volatilities on ATX and IPC 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 IPC. See also your portfolio center. Please also check ongoing floating volatility patterns of ATX and IPC.
Given the investment horizon of 30 days, ATX is expected to under-perform the IPC. But the index apears to be less risky and, when comparing its historical volatility, ATX is 1.6 times less risky than IPC. The index trades about -0.21 of its potential returns per unit of risk. The IPC is currently generating about -0.13 of returns per unit of risk over similar time horizon. If you would invest 4,951,975 in IPC on September 20, 2018 and sell it today you would lose (208,230) from holding IPC or give up 4.2% of portfolio value over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding ATX and IPC in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IPC 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 IPC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IPC has no effect on the direction of ATX i.e. ATX and IPC go up and down completely randomly.
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