Pair Correlation Between SP 500 and EURONEXT BEL-20

This module allows you to analyze existing cross correlation between S&P 500 and EURONEXT BEL-20. You can compare the effects of market volatilities on SP 500 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 SP 500 with a short position of EURONEXT BEL-20. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and EURONEXT BEL-20.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 S&P 500  vs   EURONEXT BEL-20
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to generate 0.68 times more return on investment than EURONEXT BEL-20. However, S&P 500 is 1.46 times less risky than EURONEXT BEL-20. It trades about 0.08 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  256,210  in S&P 500 on October 19, 2017 and sell it today you would earn a total of  1,675  from holding S&P 500 or generate 0.65% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SP 500 and EURONEXT BEL-20
0.11

Parameters

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

Diversification

Average diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 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 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 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 SP 500 i.e. SP 500 and EURONEXT BEL-20 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns