Correlation Analysis Between IBEX 35 and AEX Amsterdam

This module allows you to analyze existing cross correlation between IBEX 35 and AEX Amsterdam. You can compare the effects of market volatilities on IBEX 35 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 IBEX 35 with a short position of AEX Amsterdam. See also your portfolio center. Please also check ongoing floating volatility patterns of IBEX 35 and AEX Amsterdam.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

IBEX 35  vs.  AEX Amsterdam

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, IBEX 35 is expected to generate 1.1 times more return on investment than AEX Amsterdam. However, IBEX 35 is 1.1 times more volatile than AEX Amsterdam. It trades about 0.03 of its potential returns per unit of risk. AEX Amsterdam is currently generating about -0.02 per unit of risk. If you would invest  879,610  in IBEX 35 on November 13, 2018 and sell it today you would earn a total of  13,020  from holding IBEX 35 or generate 1.48% return on investment over 30 days.

Pair Corralation between IBEX 35 and AEX Amsterdam

0.85
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for IBEX 35 and AEX Amsterdam

IBEX 35 diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding IBEX 35 and AEX Amsterdam in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on AEX Amsterdam and IBEX 35 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 IBEX 35 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 IBEX 35 i.e. IBEX 35 and AEX Amsterdam go up and down completely randomly.
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