This module allows you to analyze existing cross correlation between Nasdaq and IBEX 35. You can compare the effects of market volatilities on Nasdaq 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 Nasdaq with a short position of IBEX 35. See also your portfolio center. Please also check ongoing floating volatility patterns of Nasdaq and IBEX 35.
Assuming 30 trading days horizon, Nasdaq is expected to generate 1.16 times more return on investment than IBEX 35. However, Nasdaq is 1.16 times more volatile than IBEX 35. It trades about 0.07 of its potential returns per unit of risk. IBEX 35 is currently generating about -0.04 per unit of risk. If you would invest 769,282 in Nasdaq on June 22, 2018 and sell it today you would earn a total of 12,738 from holding Nasdaq or generate 1.66% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq and IBEX 35 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IBEX 35 and Nasdaq 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 Nasdaq 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 Nasdaq i.e. Nasdaq and IBEX 35 go up and down completely randomly.
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