Correlation Analysis Between XU100 and IPC

This module allows you to analyze existing cross correlation between XU100 and IPC. You can compare the effects of market volatilities on XU100 and IPC 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 IPC. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and IPC.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 

XU100  vs.  IPC

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the IPC. In addition to that, XU100 is 2.63 times more volatile than IPC. It trades about -0.02 of its total potential returns per unit of risk. IPC is currently generating about 0.1 per unit of volatility. If you would invest  4,093,534  in IPC on September 21, 2019 and sell it today you would earn a total of  249,159  from holding IPC or generate 6.09% return on investment over 30 days.

Pair Corralation between XU100 and IPC

Time Period3 Months [change]
ValuesDaily Returns

Diversification Opportunities for XU100 and IPC

XU100 diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and IPC in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IPC 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 IPC. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IPC has no effect on the direction of XU100 i.e. XU100 and IPC go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.