This module allows you to analyze existing cross correlation between NYSE and EURONEXT BEL-20. You can compare the effects of market volatilities on NYSE 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 NYSE with a short position of EURONEXT BEL-20. See also your portfolio center
. Please also check ongoing floating volatility patterns of NYSE
and EURONEXT BEL-20
NYSE vs. EURONEXT BEL-20
Given the investment horizon of 30 days, NYSE is expected to generate 2.1 times less return on investment than EURONEXT BEL-20. But when comparing it to its historical volatility, NYSE is 1.31 times less risky than EURONEXT BEL-20. It trades about 0.04 of its potential returns per unit of risk. EURONEXT BEL-20 is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 376,296 in EURONEXT BEL-20 on June 18, 2018 and sell it today you would earn a total of 5,580 from holding EURONEXT BEL-20 or generate 1.48% return on investment over 30 days.
Pair Corralation between NYSE and EURONEXT BEL-20
|Time Period||1 Month [change]|
Overlapping area represents the amount of risk that can be diversified away by holding NYSE 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 NYSE 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 NYSE 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 NYSE i.e. NYSE and EURONEXT BEL-20 go up and down completely randomly.
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