Pair Correlation Between EURONEXT BEL-20 and Taiwan Wtd

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

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to under-perform the Taiwan Wtd. In addition to that, EURONEXT BEL-20 is 1.29 times more volatile than Taiwan Wtd. It trades about -0.24 of its total potential returns per unit of risk. Taiwan Wtd is currently generating about 0.05 per unit of volatility. If you would invest  1,073,521  in Taiwan Wtd on October 23, 2017 and sell it today you would earn a total of  4,403  from holding Taiwan Wtd or generate 0.41% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between EURONEXT BEL-20 and Taiwan Wtd
0.74

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns