This module allows you to analyze existing cross correlation between IBEX 35 and Russia TR. You can compare the effects of market volatilities on IBEX 35 and Russia 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 Russia TR. See also your portfolio center. Please also check ongoing floating volatility patterns of IBEX 35 and Russia TR.
Assuming 30 trading days horizon, IBEX 35 is expected to under-perform the Russia TR. But the index apears to be less risky and, when comparing its historical volatility, IBEX 35 is 1.52 times less risky than Russia TR. The index trades about -0.04 of its potential returns per unit of risk. The Russia TR is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest 107,506 in Russia TR on June 22, 2018 and sell it today you would earn a total of 4,281 from holding Russia TR or generate 3.98% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding IBEX 35 and Russia TR in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russia 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 Russia TR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russia TR has no effect on the direction of IBEX 35 i.e. IBEX 35 and Russia TR go up and down completely randomly.
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