Correlation Analysis Between AEX Amsterdam and EURONEXT BEL-20

This module allows you to analyze existing cross correlation between AEX Amsterdam and EURONEXT BEL-20. You can compare the effects of market volatilities on AEX Amsterdam and EURONEXT BEL-20 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 AEX Amsterdam with a short position of EURONEXT BEL-20. See also your portfolio center. Please also check ongoing floating volatility patterns of AEX Amsterdam and EURONEXT BEL-20.
 Time Horizon     30 Days    Login   to change
Symbolsvs

AEX Amsterdam  vs.  EURONEXT BEL-20

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the EURONEXT BEL-20. In addition to that, AEX Amsterdam is 11.35 times more volatile than EURONEXT BEL-20. It trades about -0.16 of its total potential returns per unit of risk. EURONEXT BEL-20 is currently generating about 0.12 per unit of volatility. If you would invest  376,357  in EURONEXT BEL-20 on June 22, 2018 and sell it today you would earn a total of  5,159  from holding EURONEXT BEL-20 or generate 1.37% return on investment over 30 days.

Pair Corralation between AEX Amsterdam and EURONEXT BEL-20

-0.76
Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy78.57%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding AEX Amsterdam and EURONEXT BEL-20 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on EURONEXT BEL-20 and AEX Amsterdam 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 AEX Amsterdam are associated (or correlated) with EURONEXT BEL-20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EURONEXT BEL-20 has no effect on the direction of AEX Amsterdam i.e. AEX Amsterdam and EURONEXT BEL-20 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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