Correlation Analysis Between NZSE and IBEX 35

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

NZSE  vs.  IBEX 35

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 0.95 times more return on investment than IBEX 35. However, NZSE is 1.06 times less risky than IBEX 35. It trades about -0.23 of its potential returns per unit of risk. IBEX 35 is currently generating about -0.29 per unit of risk. If you would invest  926,874  in NZSE on September 15, 2018 and sell it today you would lose (43,067)  from holding NZSE or give up 4.65% of portfolio value over 30 days.

Pair Corralation between NZSE and IBEX 35

0.82
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding NZSE and IBEX 35 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IBEX 35 and NZSE 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 NZSE 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 NZSE i.e. NZSE and IBEX 35 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
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ExchangeNASDAQ
$1110.08

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