Correlation Analysis Between AEX Amsterdam and Bovespa

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

AEX Amsterdam  vs.  Bovespa

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to generate 0.48 times more return on investment than Bovespa. However, AEX Amsterdam is 2.09 times less risky than Bovespa. It trades about -0.16 of its potential returns per unit of risk. Bovespa is currently generating about -0.34 per unit of risk. If you would invest  57,205  in AEX Amsterdam on May 22, 2018 and sell it today you would lose (1,745)  from holding AEX Amsterdam or give up 3.05% of portfolio value over 30 days.

Pair Corralation between AEX Amsterdam and Bovespa

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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

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