Pair Correlation Between AEX Amsterdam and Swiss Mrt

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

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the Swiss Mrt. In addition to that, AEX Amsterdam is 27.5 times more volatile than Swiss Mrt. It trades about -0.05 of its total potential returns per unit of risk. Swiss Mrt is currently generating about 0.2 per unit of volatility. If you would invest  908,404  in Swiss Mrt on October 25, 2017 and sell it today you would earn a total of  23,152  from holding Swiss Mrt or generate 2.55% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between AEX Amsterdam and Swiss Mrt
0.04

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Significant diversification

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

 Predicted Return Density 
      Returns