Correlation Analysis Between ISEQ and ATX

This module allows you to analyze existing cross correlation between ISEQ and ATX. You can compare the effects of market volatilities on ISEQ and ATX 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 ISEQ with a short position of ATX. See also your portfolio center. Please also check ongoing floating volatility patterns of ISEQ and ATX.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

ISEQ  vs.  ATX

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, ISEQ is expected to under-perform the ATX. But the index apears to be less risky and, when comparing its historical volatility, ISEQ is 1.53 times less risky than ATX. The index trades about -0.18 of its potential returns per unit of risk. The ATX is currently generating about -0.11 of returns per unit of risk over similar time horizon. If you would invest  322,804  in ATX on November 18, 2018 and sell it today you would lose (33,937)  from holding ATX or give up 10.51% of portfolio value over 30 days.

Pair Corralation between ISEQ and ATX

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for ISEQ and ATX

ISEQ diversification synergy

Very poor diversification

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

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