Pair Correlation Between IBEX 35 and FTSE 100

This module allows you to analyze existing cross correlation between IBEX 35 and FTSE 100. You can compare the effects of market volatilities on IBEX 35 and FTSE 100 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 FTSE 100. See also your portfolio center. Please also check ongoing floating volatility patterns of IBEX 35 and FTSE 100.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 IBEX 35  vs   FTSE 100
 Performance (%) 
      Timeline 

Pair Volatility

If you would invest  1,020,770  in IBEX 35 on December 20, 2017 and sell it today you would earn a total of  22,500  from holding IBEX 35 or generate 2.2% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between IBEX 35 and FTSE 100
0.28

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy5.0%
ValuesDaily Returns

Diversification

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding IBEX 35 and FTSE 100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on FTSE 100 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 FTSE 100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FTSE 100 has no effect on the direction of IBEX 35 i.e. IBEX 35 and FTSE 100 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns