Correlation Analysis Between EURONEXT BEL-20 and OMX COPENHAGEN

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

EURONEXT BEL-20  vs.  OMX COPENHAGEN

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to under-perform the OMX COPENHAGEN. In addition to that, EURONEXT BEL-20 is 1.01 times more volatile than OMX COPENHAGEN. It trades about -0.09 of its total potential returns per unit of risk. OMX COPENHAGEN is currently generating about 0.03 per unit of volatility. If you would invest  127,249  in OMX COPENHAGEN on November 11, 2018 and sell it today you would earn a total of  1,663  from holding OMX COPENHAGEN or generate 1.31% return on investment over 30 days.

Pair Corralation between EURONEXT BEL-20 and OMX COPENHAGEN

0.59
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

EURONEXT BEL-20 diversification synergy

Very weak diversification

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

 Predicted Return Density 
      Returns 

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