Correlation Analysis Between IBEX 35 and BSE

This module allows you to analyze existing cross correlation between IBEX 35 and BSE. You can compare the effects of market volatilities on IBEX 35 and BSE 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 IBEX 35 with a short position of BSE. See also your portfolio center. Please also check ongoing floating volatility patterns of IBEX 35 and BSE.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

IBEX 35  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, IBEX 35 is expected to generate 3.22 times less return on investment than BSE. In addition to that, IBEX 35 is 1.05 times more volatile than BSE. It trades about 0.03 of its total potential returns per unit of risk. BSE is currently generating about 0.09 per unit of volatility. If you would invest  3,473,751  in BSE on November 14, 2018 and sell it today you would earn a total of  122,542  from holding BSE or generate 3.53% return on investment over 30 days.

Pair Corralation between IBEX 35 and BSE

0.04
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy80.0%
ValuesDaily Returns

Diversification Opportunities for IBEX 35 and BSE

IBEX 35 diversification synergy

Significant diversification

Overlapping area represents the amount of risk that can be diversified away by holding IBEX 35 and BSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BSE and IBEX 35 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 IBEX 35 are associated (or correlated) with BSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BSE has no effect on the direction of IBEX 35 i.e. IBEX 35 and BSE go up and down completely randomly.
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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.


 
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