Pair Correlation Between DOW and EURONEXT BEL-20

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

Pair Volatility

Given the investment horizon of 30 days, DOW is expected to generate 0.69 times more return on investment than EURONEXT BEL-20. However, DOW is 1.44 times less risky than EURONEXT BEL-20. It trades about 0.16 of its potential returns per unit of risk. EURONEXT BEL-20 is currently generating about -0.23 per unit of risk. If you would invest  2,316,304  in DOW on October 19, 2017 and sell it today you would earn a total of  29,532  from holding DOW or generate 1.27% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between DOW and EURONEXT BEL-20
0.32

Parameters

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

Diversification

Weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns