- Companies in United States
- Peer Analysis
This module allows you to analyze existing cross correlation between AEX Amsterdam and MerVal. You can compare the effects of market volatilities on AEX Amsterdam and MerVal 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 MerVal. See also your portfolio center. Please also check ongoing floating volatility patterns of AEX Amsterdam and MerVal.
|Horizon||30 Days Login to change|
Predicted Return Density
AEX Amsterdam vs. MerVal
Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, AEX Amsterdam is 2.01 times less risky than MerVal. The index trades about -0.13 of its potential returns per unit of risk. The MerVal is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 2,869,061 in MerVal on November 18, 2018 and sell it today you would earn a total of 108,665 from holding MerVal or generate 3.79% return on investment over 30 days.
Pair Corralation between AEX Amsterdam and MerVal
|Time Period||2 Months [change]|
Diversification Opportunities for AEX Amsterdam and MerVal
Overlapping area represents the amount of risk that can be diversified away by holding AEX Amsterdam and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal 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 MerVal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MerVal has no effect on the direction of AEX Amsterdam i.e. AEX Amsterdam and MerVal go up and down completely randomly.