Correlation Analysis Between MerVal and IBEX 35

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

 Predicted Return Density 
      Returns 

MerVal  vs.  IBEX 35

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 1.81 times more return on investment than IBEX 35. However, MerVal is 1.81 times more volatile than IBEX 35. It trades about 0.34 of its potential returns per unit of risk. IBEX 35 is currently generating about 0.1 per unit of risk. If you would invest  2,996,828  in MerVal on January 18, 2019 and sell it today you would earn a total of  750,169  from holding MerVal or generate 25.03% return on investment over 30 days.

Pair Corralation between MerVal and IBEX 35

0.87
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy94.87%
ValuesDaily Returns

Diversification Opportunities for MerVal and IBEX 35

MerVal diversification synergy

Very poor diversification

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