Pair Correlation Between IPC and ISEQ

This module allows you to analyze existing cross correlation between IPC and ISEQ. You can compare the effects of market volatilities on IPC and ISEQ 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 ISEQ. See also your portfolio center. Please also check ongoing floating volatility patterns of IPC and ISEQ.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 IPC  vs   ISEQ
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, IPC is expected to generate 1.38 times more return on investment than ISEQ. However, IPC is 1.38 times more volatile than ISEQ. It trades about 0.13 of its potential returns per unit of risk. ISEQ is currently generating about 0.18 per unit of risk. If you would invest  4,863,454  in IPC on December 18, 2017 and sell it today you would earn a total of  85,718  from holding IPC or generate 1.76% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between IPC and ISEQ
0.78

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.0%
ValuesDaily Returns

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns