Pair Correlation Between Greece TR and EURONEXT BEL-20

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

Pair Volatility

Assuming 30 trading days horizon, Greece TR is expected to under-perform the EURONEXT BEL-20. In addition to that, Greece TR is 2.57 times more volatile than EURONEXT BEL-20. It trades about -0.13 of its total potential returns per unit of risk. EURONEXT BEL-20 is currently generating about -0.28 per unit of volatility. If you would invest  408,984  in EURONEXT BEL-20 on October 22, 2017 and sell it today you would lose (12,760)  from holding EURONEXT BEL-20 or give up 3.12% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Greece TR and EURONEXT BEL-20
0.86

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.24%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Greece TR 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 Greece TR 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 Greece TR 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 Greece TR i.e. Greece TR and EURONEXT BEL-20 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns