Pair Correlation Between EURONEXT BEL-20 and NQTH

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

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to under-perform the NQTH. But the index apears to be less risky and, when comparing its historical volatility, EURONEXT BEL-20 is 1.17 times less risky than NQTH. The index trades about -0.23 of its potential returns per unit of risk. The NQTH is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  112,910  in NQTH on October 24, 2017 and sell it today you would earn a total of  3,264  from holding NQTH or generate 2.89% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between EURONEXT BEL-20 and NQTH
-0.47

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy95.65%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns