Pair Correlation Between SP 500 and ISEQ

This module allows you to analyze existing cross correlation between S&P 500 and ISEQ. You can compare the effects of market volatilities on SP 500 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 SP 500 with a short position of ISEQ. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and ISEQ.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 S&P 500  vs   ISEQ
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SP 500 is expected to generate 2.61 times less return on investment than ISEQ. But when comparing it to its historical volatility, S&P 500 is 2.51 times less risky than ISEQ. It trades about 0.09 of its potential returns per unit of risk. ISEQ is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  682,468  in ISEQ on October 22, 2017 and sell it today you would earn a total of  11,657  from holding ISEQ or generate 1.71% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SP 500 and ISEQ
0.6

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and ISEQ in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ISEQ and SP 500 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 S&P 500 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 SP 500 i.e. SP 500 and ISEQ go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns