Pair Correlation Between IBEX 35 and Greece TR

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

Pair Volatility

Assuming 30 trading days horizon, IBEX 35 is expected to generate 0.64 times more return on investment than Greece TR. However, IBEX 35 is 1.56 times less risky than Greece TR. It trades about -0.08 of its potential returns per unit of risk. Greece TR is currently generating about -0.06 per unit of risk. If you would invest  1,016,140  in IBEX 35 on October 23, 2017 and sell it today you would lose (16,800)  from holding IBEX 35 or give up 1.65% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between IBEX 35 and Greece TR
0.67

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns