Correlation Analysis Between Greece TR and IBEX 35

This module allows you to analyze existing cross correlation between Greece TR and IBEX 35. You can compare the effects of market volatilities on Greece TR and IBEX 35 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 Greece TR with a short position of IBEX 35. See also your portfolio center. Please also check ongoing floating volatility patterns of Greece TR and IBEX 35.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

Greece TR  vs.  IBEX 35

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Greece TR is expected to generate 1.19 times less return on investment than IBEX 35. In addition to that, Greece TR is 1.55 times more volatile than IBEX 35. It trades about 0.01 of its total potential returns per unit of risk. IBEX 35 is currently generating about 0.03 per unit of volatility. If you would invest  879,610  in IBEX 35 on November 14, 2018 and sell it today you would earn a total of  10,020  from holding IBEX 35 or generate 1.14% return on investment over 30 days.

Pair Corralation between Greece TR and IBEX 35

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Greece TR and IBEX 35

Greece TR diversification synergy

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Greece TR and IBEX 35 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IBEX 35 and Greece TR 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 Greece TR are associated (or correlated) with IBEX 35. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IBEX 35 has no effect on the direction of Greece TR i.e. Greece TR and IBEX 35 go up and down completely randomly.

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See also your portfolio center. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.