Pair Correlation Between EURONEXT BEL-20 and IPC

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

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to generate 0.66 times more return on investment than IPC. However, EURONEXT BEL-20 is 1.52 times less risky than IPC. It trades about -0.27 of its potential returns per unit of risk. IPC is currently generating about -0.21 per unit of risk. If you would invest  408,984  in EURONEXT BEL-20 on October 23, 2017 and sell it today you would lose (12,760)  from holding EURONEXT BEL-20 or give up 3.12% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between EURONEXT BEL-20 and IPC
0.67

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy90.91%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns