Pair Correlation Between XU100 and AEX Amsterdam

This module allows you to analyze existing cross correlation between XU100 and AEX Amsterdam. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of AEX Amsterdam. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and AEX Amsterdam.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 XU100  vs   AEX Amsterdam
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to generate 0.17 times more return on investment than AEX Amsterdam. However, XU100 is 5.8 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 -0.21 per unit of risk. If you would invest  10,843,355  in XU100 on October 19, 2017 and sell it today you would lose (219,409)  from holding XU100 or give up 2.02% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and AEX Amsterdam
-0.29

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and AEX Amsterdam in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on AEX Amsterdam and XU100 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 XU100 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 XU100 i.e. XU100 and AEX Amsterdam go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns