Correlation Analysis Between AEX Amsterdam and Russia TR

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

AEX Amsterdam  vs.  Russia TR

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the Russia TR. But the index apears to be less risky and, when comparing its historical volatility, AEX Amsterdam is 1.82 times less risky than Russia TR. The index trades about -0.14 of its potential returns per unit of risk. The Russia TR is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest  108,583  in Russia TR on August 20, 2018 and sell it today you would earn a total of  7,756  from holding Russia TR or generate 7.14% return on investment over 30 days.

Pair Corralation between AEX Amsterdam and Russia TR

-0.15
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding AEX Amsterdam and Russia TR in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russia TR 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 Russia TR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russia TR has no effect on the direction of AEX Amsterdam i.e. AEX Amsterdam and Russia TR go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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