Pair Correlation Between Russell 2000 and AEX Amsterdam

This module allows you to analyze existing cross correlation between Russell 2000 and AEX Amsterdam. You can compare the effects of market volatilities on Russell 2000 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 Russell 2000 with a short position of AEX Amsterdam. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and AEX Amsterdam.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Russell 2000   vs   AEX Amsterdam
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 0.04 times more return on investment than AEX Amsterdam. However, Russell 2000 is 23.74 times less risky than AEX Amsterdam. It trades about 0.07 of its potential returns per unit of risk. AEX Amsterdam is currently generating about -0.05 per unit of risk. If you would invest  150,042  in Russell 2000 on October 24, 2017 and sell it today you would earn a total of  1,634  from holding Russell 2000 or generate 1.09% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russell 2000 and AEX Amsterdam
0.38

Parameters

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

Diversification

Weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and AEX Amsterdam in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on AEX Amsterdam and Russell 2000 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 Russell 2000 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 Russell 2000 i.e. Russell 2000 and AEX Amsterdam go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns