Pair Correlation Between XU100 and EURONEXT BEL-20

This module allows you to analyze existing cross correlation between XU100 and EURONEXT BEL-20. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of EURONEXT BEL-20. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and EURONEXT BEL-20.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 XU100  vs   EURONEXT BEL-20
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to generate 2.58 times more return on investment than EURONEXT BEL-20. However, XU100 is 2.58 times more volatile than EURONEXT BEL-20. It trades about -0.1 of its potential returns per unit of risk. EURONEXT BEL-20 is currently generating about -0.27 per unit of risk. If you would invest  10,730,325  in XU100 on October 23, 2017 and sell it today you would lose (339,131)  from holding XU100 or give up 3.16% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and EURONEXT BEL-20
0.68

Parameters

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

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 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 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 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 XU100 i.e. XU100 and EURONEXT BEL-20 go up and down completely randomly.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns