Correlation Analysis Between EURONEXT BEL-20 and Greece TR

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

EURONEXT BEL-20  vs.  Greece TR

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to generate 0.42 times more return on investment than Greece TR. However, EURONEXT BEL-20 is 2.39 times less risky than Greece TR. It trades about -0.33 of its potential returns per unit of risk. Greece TR is currently generating about -0.21 per unit of risk. If you would invest  377,489  in EURONEXT BEL-20 on September 23, 2018 and sell it today you would lose (30,699)  from holding EURONEXT BEL-20 or give up 8.13% of portfolio value over 30 days.

Pair Corralation between EURONEXT BEL-20 and Greece TR

0.84
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.45%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns 

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