Correlation Analysis Between AEX Amsterdam and Hang Seng

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

AEX Amsterdam  vs.  Hang Seng

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the Hang Seng. But the index apears to be less risky and, when comparing its historical volatility, AEX Amsterdam is 1.31 times less risky than Hang Seng. The index trades about -0.25 of its potential returns per unit of risk. The Hang Seng is currently generating about -0.13 of returns per unit of risk over similar time horizon. If you would invest  2,749,939  in Hang Seng on September 23, 2018 and sell it today you would lose (134,624)  from holding Hang Seng or give up 4.9% of portfolio value over 30 days.

Pair Corralation between AEX Amsterdam and Hang Seng

0.91
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.45%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.


 
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