Correlation Analysis Between IBEX 35 and Stockholm

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

IBEX 35  vs.  Stockholm

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, IBEX 35 is expected to generate 1.09 times more return on investment than Stockholm. However, IBEX 35 is 1.09 times more volatile than Stockholm. It trades about -0.07 of its potential returns per unit of risk. Stockholm is currently generating about -0.15 per unit of risk. If you would invest  900,790  in IBEX 35 on November 10, 2018 and sell it today you would lose (34,790)  from holding IBEX 35 or give up 3.86% of portfolio value over 30 days.

Pair Corralation between IBEX 35 and Stockholm

0.51
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

IBEX 35 diversification synergy

Very weak diversification

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

 Predicted Return Density 
      Returns 

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