Correlation Analysis Between AEX Amsterdam and CAC 40

This module allows you to analyze existing cross correlation between AEX Amsterdam and CAC 40. You can compare the effects of market volatilities on AEX Amsterdam and CAC 40 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 CAC 40. See also your portfolio center. Please also check ongoing floating volatility patterns of AEX Amsterdam and CAC 40.
Horizon     30 Days    Login   to change

AEX Amsterdam  vs.  CAC 40

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to generate 0.96 times more return on investment than CAC 40. However, AEX Amsterdam is 1.05 times less risky than CAC 40. It trades about -0.02 of its potential returns per unit of risk. CAC 40 is currently generating about -0.08 per unit of risk. If you would invest  51,469  in AEX Amsterdam on November 12, 2018 and sell it today you would lose (572.00)  from holding AEX Amsterdam or give up 1.11% of portfolio value over 30 days.

Pair Corralation between AEX Amsterdam and CAC 40

Time Period2 Months [change]
ValuesDaily Returns


AEX Amsterdam diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding AEX Amsterdam and CAC 40 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on CAC 40 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 CAC 40. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CAC 40 has no effect on the direction of AEX Amsterdam i.e. AEX Amsterdam and CAC 40 go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.