Correlation Analysis Between EURONEXT BEL-20 and NZSE

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

EURONEXT BEL-20  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to under-perform the NZSE. In addition to that, EURONEXT BEL-20 is 1.69 times more volatile than NZSE. It trades about -0.05 of its total potential returns per unit of risk. NZSE is currently generating about -0.02 per unit of volatility. If you would invest  883,807  in NZSE on November 12, 2018 and sell it today you would lose (5,558)  from holding NZSE or give up 0.63% of portfolio value over 30 days.

Pair Corralation between EURONEXT BEL-20 and NZSE

0.34
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy81.4%
ValuesDaily Returns

Diversification

EURONEXT BEL-20 diversification synergy

Weak diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.


 
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