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.
|Investment Horizon||30 Days Login to change|
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 1.229425700683198E13 times less risky than MerVal. The index trades about -0.05 of its potential returns per unit of risk. The MerVal is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 2,800,954 in MerVal on October 24, 2017 and sell it today you would lose (68,157) from holding MerVal or give up 2.43% of portfolio value over 30 days.