Pair Correlation 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.
Time Horizon | 30 Days Login to change |
Symbols | vs |
EURONEXT BEL-20 vs. Swiss Mrt
Pair Volatility
Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to generate 0.88 times more return on investment than Swiss Mrt. However, EURONEXT BEL-20 is 1.14 times less risky than Swiss Mrt. It trades about -0.06 of its potential returns per unit of risk. Swiss Mrt is currently generating about -0.06 per unit of risk. If you would invest 399,250 in EURONEXT BEL-20 on March 27, 2018 and sell it today you would lose (9,943) from holding EURONEXT BEL-20 or give up 2.49% of portfolio value over 30 days.
Pair Corralation between EURONEXT BEL-20 and Swiss Mrt
0.93
Time Period | 2 Months [change] |
Direction | Positive |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Diversification
Almost no 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.
Comparative Volatility
EURONEXT BEL-20
Pair trading matchups for EURONEXT BEL-20
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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.