Pair Correlation Between Seoul Comp and EURONEXT BEL-20

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

Pair Volatility

Assuming 30 trading days horizon, Seoul Comp is expected to generate 1.31 times less return on investment than EURONEXT BEL-20. In addition to that, Seoul Comp is 1.22 times more volatile than EURONEXT BEL-20. It trades about 0.3 of its total potential returns per unit of risk. EURONEXT BEL-20 is currently generating about 0.48 per unit of volatility. If you would invest  399,505  in EURONEXT BEL-20 on December 22, 2017 and sell it today you would earn a total of  16,404  from holding EURONEXT BEL-20 or generate 4.11% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Seoul Comp and EURONEXT BEL-20
0.81

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.0%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Seoul Comp 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 Seoul Comp 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 Seoul Comp 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 Seoul Comp i.e. Seoul Comp and EURONEXT BEL-20 go up and down completely randomly.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns