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.
Assuming 30 trading days horizon, Seoul Comp is expected to under-perform the EURONEXT BEL-20. But the index apears to be less risky and, when comparing its historical volatility, Seoul Comp is 1.09 times less risky than EURONEXT BEL-20. The index trades about -0.19 of its potential returns per unit of risk. The EURONEXT BEL-20 is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 374,580 in EURONEXT BEL-20 on June 19, 2018 and sell it today you would earn a total of 7,461 from holding EURONEXT BEL-20 or generate 1.99% return on investment over 30 days.
Pair Corralation between Seoul Comp and EURONEXT BEL-20
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.
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