Pair Correlation Between NQFI and EURONEXT BEL-20

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

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to under-perform the EURONEXT BEL-20. In addition to that, NQFI is 1.92 times more volatile than EURONEXT BEL-20. It trades about -0.17 of its total potential returns per unit of risk. EURONEXT BEL-20 is currently generating about -0.18 per unit of volatility. If you would invest  407,525  in EURONEXT BEL-20 on October 18, 2017 and sell it today you would lose (8,339)  from holding EURONEXT BEL-20 or give up 2.05% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between NQFI and EURONEXT BEL-20
0.41

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 EURONEXT BEL-20 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on EURONEXT BEL-20 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 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 NQFI i.e. NQFI and EURONEXT BEL-20 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns