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This module allows you to analyze existing cross correlation between IBEX 35 and XU100. You can compare the effects of market volatilities on IBEX 35 and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of IBEX 35 and XU100.
|Horizon||30 Days Login to change|
Predicted Return Density
IBEX 35 vs. XU100
Assuming 30 trading days horizon, IBEX 35 is expected to generate 0.59 times more return on investment than XU100. However, IBEX 35 is 1.7 times less risky than XU100. It trades about -0.04 of its potential returns per unit of risk. XU100 is currently generating about -0.12 per unit of risk. If you would invest 889,210 in IBEX 35 on November 18, 2018 and sell it today you would lose (19,130) from holding IBEX 35 or give up 2.15% of portfolio value over 30 days.
Pair Corralation between IBEX 35 and XU100
|Time Period||2 Months [change]|
Diversification Opportunities for IBEX 35 and XU100
Overlapping area represents the amount of risk that can be diversified away by holding IBEX 35 and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of IBEX 35 i.e. IBEX 35 and XU100 go up and down completely randomly.