Correlation Analysis Between IBEX 35 and NZSE

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

IBEX 35  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, IBEX 35 is expected to generate 2.67 times less return on investment than NZSE. In addition to that, IBEX 35 is 1.97 times more volatile than NZSE. It trades about 0.05 of its total potential returns per unit of risk. NZSE is currently generating about 0.28 per unit of volatility. If you would invest  863,840  in NZSE on May 26, 2018 and sell it today you would earn a total of  35,575  from holding NZSE or generate 4.12% return on investment over 30 days.

Pair Corralation between IBEX 35 and NZSE

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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

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