Pair Correlation Between NQFI and AEX Amsterdam

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

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to under-perform the AEX Amsterdam. But the index apears to be less risky and, when comparing its historical volatility, NQFI is 14.82 times less risky than AEX Amsterdam. The index trades about -0.24 of its potential returns per unit of risk. The AEX Amsterdam is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  83,388  in AEX Amsterdam on October 23, 2017 and sell it today you would lose (301)  from holding AEX Amsterdam or give up 0.36% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between NQFI and AEX Amsterdam
0.56

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns