Correlation Analysis Between BSE and AEX Amsterdam

This module allows you to analyze existing cross correlation between BSE and AEX Amsterdam. You can compare the effects of market volatilities on BSE and AEX Amsterdam 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 BSE with a short position of AEX Amsterdam. See also your portfolio center. Please also check ongoing floating volatility patterns of BSE and AEX Amsterdam.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

BSE  vs.  AEX Amsterdam

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 0.93 times more return on investment than AEX Amsterdam. However, BSE is 1.08 times less risky than AEX Amsterdam. It trades about 0.17 of its potential returns per unit of risk. AEX Amsterdam is currently generating about -0.13 per unit of risk. If you would invest  3,440,982  in BSE on November 18, 2018 and sell it today you would earn a total of  193,726  from holding BSE or generate 5.63% return on investment over 30 days.

Pair Corralation between BSE and AEX Amsterdam

-0.34
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy79.07%
ValuesDaily Returns

Diversification Opportunities for BSE and AEX Amsterdam

BSE diversification synergy

Very good diversification

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