Correlation Analysis Between AEX Amsterdam and MerVal

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
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

AEX Amsterdam  vs.  MerVal

 Performance (%) 
      Timeline 

Pair Volatility

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

0.03
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy93.02%
ValuesDaily Returns

Diversification Opportunities for AEX Amsterdam and MerVal

AEX Amsterdam diversification synergy

Significant diversification

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.
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See also your portfolio center. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.


 
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