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.
 Time 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 generate 3.04 times more return on investment than OMXVGI. However, IBEX 35 is 3.04 times more volatile than OMXVGI. It trades about 0.06 of its potential returns per unit of risk. OMXVGI is currently generating about 0.06 per unit of risk. If you would invest  961,790  in IBEX 35 on June 23, 2018 and sell it today you would earn a total of  7,240  from holding IBEX 35 or generate 0.75% return on investment over 30 days.

Pair Corralation between IBEX 35 and OMXVGI

-0.65
Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy75.86%
ValuesDaily Returns

Diversification

Excellent 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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