This module allows you to analyze existing cross correlation between Nasdaq and AEX Amsterdam. You can compare the effects of market volatilities on Nasdaq 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 Nasdaq with a short position of AEX Amsterdam. See also your portfolio center
. Please also check ongoing floating volatility patterns of Nasdaq
and AEX Amsterdam
Nasdaq vs. AEX Amsterdam
Assuming 30 trading days horizon, Nasdaq is expected to under-perform the AEX Amsterdam. But the index apears to be less risky and, when comparing its historical volatility, Nasdaq is 13.98 times less risky than AEX Amsterdam. The index trades about -0.03 of its potential returns per unit of risk. The AEX Amsterdam is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 53,409 in AEX Amsterdam on March 25, 2018 and sell it today you would earn a total of 1,537 from holding AEX Amsterdam or generate 2.88% return on investment over 30 days.
Pair Corralation between Nasdaq and AEX Amsterdam
|Time Period||2 Months [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq and AEX Amsterdam in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on AEX Amsterdam and Nasdaq 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 Nasdaq 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 Nasdaq i.e. Nasdaq and AEX Amsterdam go up and down completely randomly.
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