Correlation Analysis Between AEX Amsterdam and Shanghai

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

AEX Amsterdam  vs.  Shanghai

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to generate 1.03 times less return on investment than Shanghai. But when comparing it to its historical volatility, AEX Amsterdam is 1.53 times less risky than Shanghai. It trades about 0.13 of its potential returns per unit of risk. Shanghai is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  257,008  in Shanghai on October 13, 2018 and sell it today you would earn a total of  5,710  from holding Shanghai or generate 2.22% return on investment over 30 days.

Pair Corralation between AEX Amsterdam and Shanghai

0.01
Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy90.48%
ValuesDaily Returns

Diversification

AEX Amsterdam diversification synergy

Significant diversification

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

 Predicted Return Density 
      Returns 

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