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

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the NQEGT. In addition to that, AEX Amsterdam is 8.77 times more volatile than NQEGT. It trades about -0.22 of its total potential returns per unit of risk. NQEGT is currently generating about -0.08 per unit of volatility. If you would invest  105,179  in NQEGT on October 22, 2017 and sell it today you would lose (1,508)  from holding NQEGT or give up 1.43% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between AEX Amsterdam and NQEGT
-0.33

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.24%
ValuesDaily Returns

Diversification

Very good 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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Comparative Volatility

 Predicted Return Density 
      Returns