Correlation Analysis Between XU100 and IBEX 35

This module allows you to analyze existing cross correlation between XU100 and IBEX 35. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of IBEX 35. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and IBEX 35.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

XU100  vs.  IBEX 35

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the IBEX 35. In addition to that, XU100 is 1.7 times more volatile than IBEX 35. It trades about -0.12 of its total potential returns per unit of risk. IBEX 35 is currently generating about -0.04 per unit of volatility. If you would invest  889,210  in IBEX 35 on November 18, 2018 and sell it today you would lose (19,130)  from holding IBEX 35 or give up 2.15% of portfolio value over 30 days.

Pair Corralation between XU100 and IBEX 35

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for XU100 and IBEX 35

XU100 diversification synergy

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and IBEX 35 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IBEX 35 and XU100 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 XU100 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 XU100 i.e. XU100 and IBEX 35 go up and down completely randomly.

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See also your portfolio center. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.