Pair Correlation 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 |
Symbols | vs |
AEX Amsterdam vs. EURONEXT BEL-20
Pair Volatility
Given the investment horizon of 30 days, AEX Amsterdam is expected to generate 28.79 times more return on investment than EURONEXT BEL-20. However, AEX Amsterdam is 28.79 times more volatile than EURONEXT BEL-20. It trades about 0.13 of its potential returns per unit of risk. EURONEXT BEL-20 is currently generating about -0.02 per unit of risk. If you would invest 53,395 in AEX Amsterdam on March 23, 2018 and sell it today you would earn a total of 25,809 from holding AEX Amsterdam or generate 48.34% return on investment over 30 days.
Pair Corralation between AEX Amsterdam and EURONEXT BEL-20
0.75
Time Period | 2 Months [change] |
Direction | Positive |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Diversification
Poor diversification
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.
Comparative Volatility
AEX Amsterdam
Pair trading matchups for AEX Amsterdam
EURONEXT BEL-20
Pair trading matchups for EURONEXT BEL-20
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