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This module allows you to analyze existing cross correlation between AEX Amsterdam and OMXVGI. You can compare the effects of market volatilities on AEX Amsterdam and OMXVGI 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 OMXVGI. See also your portfolio center. Please also check ongoing floating volatility patterns of AEX Amsterdam and OMXVGI.
|Horizon||30 Days Login to change|
Predicted Return Density
AEX Amsterdam vs. OMXVGI
Given the investment horizon of 30 days, AEX Amsterdam is expected to generate 2.11 times more return on investment than OMXVGI. However, AEX Amsterdam is 2.11 times more volatile than OMXVGI. It trades about -0.11 of its potential returns per unit of risk. OMXVGI is currently generating about -0.38 per unit of risk. If you would invest 52,517 in AEX Amsterdam on November 18, 2018 and sell it today you would lose (2,509) from holding AEX Amsterdam or give up 4.78% of portfolio value over 30 days.
Pair Corralation between AEX Amsterdam and OMXVGI
|Time Period||2 Months [change]|
Diversification Opportunities for AEX Amsterdam and OMXVGI
Overlapping area represents the amount of risk that can be diversified away by holding AEX Amsterdam and OMXVGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXVGI 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 OMXVGI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OMXVGI has no effect on the direction of AEX Amsterdam i.e. AEX Amsterdam and OMXVGI go up and down completely randomly.