Pair Correlation Between EURONEXT BEL-20 and NYSE

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

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to generate 1.11 times less return on investment than NYSE. In addition to that, EURONEXT BEL-20 is 1.17 times more volatile than NYSE. It trades about 0.48 of its total potential returns per unit of risk. NYSE is currently generating about 0.62 per unit of volatility. If you would invest  1,279,745  in NYSE on December 22, 2017 and sell it today you would earn a total of  58,701  from holding NYSE or generate 4.59% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between EURONEXT BEL-20 and NYSE
0.93

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns