This module allows you to analyze existing cross correlation between IPC and XU100. You can compare the effects of market volatilities on IPC 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 IPC with a short position of XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of IPC and XU100.
Given the investment horizon of 30 days, IPC is expected to under-perform the XU100. But the index apears to be less risky and, when comparing its historical volatility, IPC is 1.31 times less risky than XU100. The index trades about -0.13 of its potential returns per unit of risk. The XU100 is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest 9,660,375 in XU100 on September 20, 2018 and sell it today you would lose (14,918) from holding XU100 or give up 0.15% of portfolio value over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding IPC and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 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 IPC i.e. IPC and XU100 go up and down completely randomly.
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