Correlation Analysis Between AEX Amsterdam and NQEGT

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

 Predicted Return Density 
      Returns 

AEX Amsterdam  vs.  NQEGT

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the NQEGT. But the index apears to be less risky and, when comparing its historical volatility, AEX Amsterdam is 1.34 times less risky than NQEGT. The index trades about -0.03 of its potential returns per unit of risk. The NQEGT is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  106,042  in NQEGT on November 14, 2018 and sell it today you would lose (1,190)  from holding NQEGT or give up 1.12% of portfolio value over 30 days.

Pair Corralation between AEX Amsterdam and NQEGT

0.62
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for AEX Amsterdam and NQEGT

AEX Amsterdam diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding AEX Amsterdam and NQEGT in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQEGT 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 NQEGT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQEGT has no effect on the direction of AEX Amsterdam i.e. AEX Amsterdam and NQEGT go up and down completely randomly.
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See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.


 
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