Correlation Analysis Between EURONEXT BEL-20 and SP 500

This module allows you to analyze existing cross correlation between EURONEXT BEL-20 and S&P 500. You can compare the effects of market volatilities on EURONEXT BEL-20 and SP 500 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 EURONEXT BEL-20 with a short position of SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of EURONEXT BEL-20 and SP 500.
Horizon     30 Days    Login   to change
Symbolsvs

EURONEXT BEL-20  vs.  S&P 500

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to generate 0.8 times more return on investment than SP 500. However, EURONEXT BEL-20 is 1.24 times less risky than SP 500. It trades about -0.01 of its potential returns per unit of risk. S&P 500 is currently generating about -0.09 per unit of risk. If you would invest  356,394  in EURONEXT BEL-20 on October 17, 2018 and sell it today you would lose (1,409)  from holding EURONEXT BEL-20 or give up 0.4% of portfolio value over 30 days.

Pair Corralation between EURONEXT BEL-20 and SP 500

0.77
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

EURONEXT BEL-20 diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding EURONEXT BEL-20 and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 and EURONEXT BEL-20 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 EURONEXT BEL-20 are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of EURONEXT BEL-20 i.e. EURONEXT BEL-20 and SP 500 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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