This module allows you to analyze existing cross correlation between IPC and DAX. You can compare the effects of market volatilities on IPC and DAX 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 IPC with a short position of DAX. See also your portfolio center
. Please also check ongoing floating volatility patterns of IPC
IPC vs. DAX
Given the investment horizon of 30 days, IPC is expected to under-perform the DAX. But the index apears to be less risky and, when comparing its historical volatility, IPC is 1.15 times less risky than DAX. The index trades about -0.01 of its potential returns per unit of risk. The DAX is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 1,248,379 in DAX on March 25, 2018 and sell it today you would earn a total of 8,860 from holding DAX or generate 0.71% return on investment over 30 days.
Pair Corralation between IPC and DAX
|Time Period||2 Months [change]|
No risk reduction
Overlapping area represents the amount of risk that can be diversified away by holding IPC and DAX in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on DAX and IPC 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 IPC are associated (or correlated) with DAX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DAX has no effect on the direction of IPC i.e. IPC and DAX go up and down completely randomly.
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