This module allows you to analyze existing cross correlation between EURONEXT BEL-20 and MerVal. You can compare the effects of market volatilities on EURONEXT BEL-20 and MerVal 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 MerVal. See also your portfolio center. Please also check ongoing floating volatility patterns of EURONEXT BEL-20 and MerVal.
|Time Horizon||30 Days Login to change|
Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, EURONEXT BEL-20 is 2.34 times less risky than MerVal. The index trades about -0.23 of its potential returns per unit of risk. The MerVal is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 3,359,170 in MerVal on January 19, 2018 and sell it today you would lose (91,445) from holding MerVal or give up 2.72% of portfolio value over 30 days.