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This module allows you to analyze existing cross correlation between EURONEXT BEL-20 and Shanghai. You can compare the effects of market volatilities on EURONEXT BEL-20 and Shanghai 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 Shanghai. See also your portfolio center. Please also check ongoing floating volatility patterns of EURONEXT BEL-20 and Shanghai.
|Horizon||30 Days Login to change|
Predicted Return Density
EURONEXT BEL-20 vs. Shanghai
Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to under-perform the Shanghai. But the index apears to be less risky and, when comparing its historical volatility, EURONEXT BEL-20 is 1.16 times less risky than Shanghai. The index trades about -0.05 of its potential returns per unit of risk. The Shanghai is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 257,008 in Shanghai on November 13, 2018 and sell it today you would earn a total of 4,073 from holding Shanghai or generate 1.58% return on investment over 30 days.
Pair Corralation between EURONEXT BEL-20 and Shanghai
|Time Period||2 Months [change]|
Diversification Opportunities for EURONEXT BEL-20 and Shanghai
Overlapping area represents the amount of risk that can be diversified away by holding EURONEXT BEL-20 and Shanghai in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Shanghai 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 Shanghai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shanghai has no effect on the direction of EURONEXT BEL-20 i.e. EURONEXT BEL-20 and Shanghai go up and down completely randomly.