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.
 Time 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 under-perform the EURONEXT BEL-20. But the index apears to be less risky and, when comparing its historical volatility, All Ords is 1.17 times less risky than EURONEXT BEL-20. The index trades about -0.06 of its potential returns per unit of risk. The EURONEXT BEL-20 is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest  397,885  in EURONEXT BEL-20 on March 24, 2018 and sell it today you would lose (5,765)  from holding EURONEXT BEL-20 or give up 1.45% of portfolio value over 30 days.

Pair Corralation between All Ords and EURONEXT BEL-20

1.0
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy98.0%
ValuesDaily Returns

Diversification

No risk reduction

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 

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See also your portfolio center. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.