Correlation Analysis Between MerVal and AEX Amsterdam

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

 Predicted Return Density 

MerVal  vs.  AEX Amsterdam

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the AEX Amsterdam. But the index apears to be less risky and, when comparing its historical volatility, MerVal is 1.15 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 0.04 of returns per unit of risk over similar time horizon. If you would invest  80,961  in AEX Amsterdam on September 17, 2019 and sell it today you would earn a total of  4,205  from holding AEX Amsterdam or generate 5.19% return on investment over 30 days.

Pair Corralation between MerVal and AEX Amsterdam

Time Period3 Months [change]
ValuesDaily Returns

Diversification Opportunities for MerVal and AEX Amsterdam

MerVal diversification synergy

Average diversification

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