Correlation Analysis Between AEX Amsterdam and Straits Tms

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

AEX Amsterdam  vs.  Straits Tms

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to under-perform the Straits Tms. But the index apears to be less risky and, when comparing its historical volatility, AEX Amsterdam is 1.32 times less risky than Straits Tms. The index trades about -0.16 of its potential returns per unit of risk. The Straits Tms is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  324,050  in Straits Tms on July 18, 2018 and sell it today you would lose (2,857)  from holding Straits Tms or give up 0.88% of portfolio value over 30 days.

Pair Corralation between AEX Amsterdam and Straits Tms

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy91.3%
ValuesDaily Returns

Diversification

Pay attention

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

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