Correlation Analysis Between AEX Amsterdam and NYSE

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

 Predicted Return Density 
      Returns 

AEX Amsterdam  vs.  NYSE

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to generate 1.26 times less return on investment than NYSE. But when comparing it to its historical volatility, AEX Amsterdam is 1.68 times less risky than NYSE. It trades about 0.33 of its potential returns per unit of risk. NYSE is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest  1,103,684  in NYSE on January 20, 2019 and sell it today you would earn a total of  154,408  from holding NYSE or generate 13.99% return on investment over 30 days.

Pair Corralation between AEX Amsterdam and NYSE

0.94
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy97.3%
ValuesDaily Returns

Diversification Opportunities for AEX Amsterdam and NYSE

AEX Amsterdam diversification synergy

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding AEX Amsterdam and NYSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NYSE and AEX Amsterdam 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 AEX Amsterdam are associated (or correlated) with NYSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE has no effect on the direction of AEX Amsterdam i.e. AEX Amsterdam and NYSE go up and down completely randomly.
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