Correlation Analysis Between IBEX 35 and OMXVGI

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

IBEX 35  vs.  OMXVGI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, IBEX 35 is expected to under-perform the OMXVGI. In addition to that, IBEX 35 is 1.59 times more volatile than OMXVGI. It trades about -0.29 of its total potential returns per unit of risk. OMXVGI is currently generating about -0.31 per unit of volatility. If you would invest  69,109  in OMXVGI on September 15, 2018 and sell it today you would lose (2,866)  from holding OMXVGI or give up 4.15% of portfolio value over 30 days.

Pair Corralation between IBEX 35 and OMXVGI

0.82
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns 

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Alphabet
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