Pair Correlation 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.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 AEX Amsterdam  vs   MerVal
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the MerVal. In addition to that, AEX Amsterdam is 2.95 times more volatile than MerVal. It trades about -0.24 of its total potential returns per unit of risk. MerVal is currently generating about -0.03 per unit of volatility. If you would invest  3,352,547  in MerVal on January 22, 2018 and sell it today you would lose (69,953)  from holding MerVal or give up 2.09% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between AEX Amsterdam and MerVal
0.24

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy91.3%
ValuesDaily Returns

Diversification

Modest 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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Comparative Volatility

 Predicted Return Density 
      Returns