Pair Correlation Between All Ords and EURONEXT BEL-20

This module allows you to analyze existing cross correlation between All Ords and EURONEXT BEL-20. You can compare the effects of market volatilities on All Ords and EURONEXT BEL-20 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 All Ords with a short position of EURONEXT BEL-20. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and EURONEXT BEL-20.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 All Ords  vs   EURONEXT BEL-20
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to generate 0.7 times more return on investment than EURONEXT BEL-20. However, All Ords is 1.43 times less risky than EURONEXT BEL-20. It trades about 0.16 of its potential returns per unit of risk. EURONEXT BEL-20 is currently generating about -0.27 per unit of risk. If you would invest  596,790  in All Ords on October 20, 2017 and sell it today you would earn a total of  7,690  from holding All Ords or generate 1.29% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between All Ords and EURONEXT BEL-20
-0.34

Parameters

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

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding All Ords and EURONEXT BEL-20 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on EURONEXT BEL-20 and All Ords 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 All Ords are associated (or correlated) with EURONEXT BEL-20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EURONEXT BEL-20 has no effect on the direction of All Ords i.e. All Ords and EURONEXT BEL-20 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns