Correlation Analysis Between SP 500 and AEX Amsterdam

This module allows you to analyze existing cross correlation between S&P 500 and AEX Amsterdam. You can compare the effects of market volatilities on SP 500 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 SP 500 with a short position of AEX Amsterdam. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and AEX Amsterdam.
Horizon     30 Days    Login   to change

S&P 500  vs.  AEX Amsterdam

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to generate 1.26 times more return on investment than AEX Amsterdam. However, SP 500 is 1.26 times more volatile than AEX Amsterdam. It trades about -0.09 of its potential returns per unit of risk. AEX Amsterdam is currently generating about -0.12 per unit of risk. If you would invest  278,568  in S&P 500 on November 9, 2018 and sell it today you would lose (15,260)  from holding S&P 500 or give up 5.48% of portfolio value over 30 days.

Pair Corralation between SP 500 and AEX Amsterdam

Time Period2 Months [change]
ValuesDaily Returns


S&P 500 diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and AEX Amsterdam in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on AEX Amsterdam and SP 500 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 S&P 500 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 SP 500 i.e. SP 500 and AEX Amsterdam go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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