Correlation Analysis Between Straits Tms and IBEX 35

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

Straits Tms  vs.  IBEX 35

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Straits Tms is expected to under-perform the IBEX 35. But the index apears to be less risky and, when comparing its historical volatility, Straits Tms is 1.23 times less risky than IBEX 35. The index trades about -0.11 of its potential returns per unit of risk. The IBEX 35 is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  975,540  in IBEX 35 on June 19, 2018 and sell it today you would lose (5,220)  from holding IBEX 35 or give up 0.54% of portfolio value over 30 days.

Pair Corralation between Straits Tms and IBEX 35

0.34
Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy70.0%
ValuesDaily Returns

Diversification

Weak diversification

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

 Predicted Return Density 
      Returns 

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