Correlation Analysis Between AEX Amsterdam and Jakarta Comp

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

AEX Amsterdam  vs.  Jakarta Comp

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the Jakarta Comp. In addition to that, AEX Amsterdam is 1.04 times more volatile than Jakarta Comp. It trades about -0.01 of its total potential returns per unit of risk. Jakarta Comp is currently generating about 0.13 per unit of volatility. If you would invest  583,096  in Jakarta Comp on October 17, 2018 and sell it today you would earn a total of  12,477  from holding Jakarta Comp or generate 2.14% return on investment over 30 days.

Pair Corralation between AEX Amsterdam and Jakarta Comp

Time Period1 Month [change]
ValuesDaily Returns


AEX Amsterdam diversification synergy

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.