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.
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 under-perform the NZSE. In addition to that, IBEX 35 is 1.56 times more volatile than NZSE. It trades about -0.06 of its total potential returns per unit of risk. NZSE is currently generating about -0.02 per unit of volatility. If you would invest  872,120  in NZSE on November 10, 2018 and sell it today you would lose (6,118)  from holding NZSE or give up 0.7% of portfolio value over 30 days.

Pair Corralation between IBEX 35 and NZSE

0.1
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy81.82%
ValuesDaily Returns

Diversification

IBEX 35 diversification synergy

Average diversification

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

 Predicted Return Density 
      Returns 

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