Pair Correlation Between EURONEXT BEL-20 and Madrid Gnrl

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

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to generate 0.69 times more return on investment than Madrid Gnrl. However, EURONEXT BEL-20 is 1.45 times less risky than Madrid Gnrl. It trades about 0.34 of its potential returns per unit of risk. Madrid Gnrl is currently generating about 0.23 per unit of risk. If you would invest  402,087  in EURONEXT BEL-20 on December 19, 2017 and sell it today you would earn a total of  12,773  from holding EURONEXT BEL-20 or generate 3.18% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between EURONEXT BEL-20 and Madrid Gnrl
0.87

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns