Correlation Analysis Between EURONEXT BEL-20 and Swiss Mrt

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

EURONEXT BEL-20  vs.  Swiss Mrt

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to under-perform the Swiss Mrt. In addition to that, EURONEXT BEL-20 is 1.41 times more volatile than Swiss Mrt. It trades about 0.0 of its total potential returns per unit of risk. Swiss Mrt is currently generating about 0.09 per unit of volatility. If you would invest  877,918  in Swiss Mrt on October 18, 2018 and sell it today you would earn a total of  12,821  from holding Swiss Mrt or generate 1.46% return on investment over 30 days.

Pair Corralation between EURONEXT BEL-20 and Swiss Mrt

0.62
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

EURONEXT BEL-20 diversification synergy

Poor diversification

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

 Predicted Return Density 
      Returns 

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