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This module allows you to analyze existing cross correlation between Russia TR and AEX Amsterdam. You can compare the effects of market volatilities on Russia TR 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 Russia TR with a short position of AEX Amsterdam. See also your portfolio center. Please also check ongoing floating volatility patterns of Russia TR and AEX Amsterdam.
|Horizon||30 Days Login to change|
Predicted Return Density
Russia TR vs. AEX Amsterdam
Assuming 30 trading days horizon, Russia TR is expected to generate 1.04 times less return on investment than AEX Amsterdam. But when comparing it to its historical volatility, Russia TR is 1.04 times less risky than AEX Amsterdam. It trades about 0.23 of its potential returns per unit of risk. AEX Amsterdam is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest 49,599 in AEX Amsterdam on January 18, 2019 and sell it today you would earn a total of 4,363 from holding AEX Amsterdam or generate 8.8% return on investment over 30 days.
Pair Corralation between Russia TR and AEX Amsterdam
|Time Period||2 Months [change]|
Diversification Opportunities for Russia TR and AEX Amsterdam
Almost no diversification
Overlapping area represents the amount of risk that can be diversified away by holding Russia TR and AEX Amsterdam in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on AEX Amsterdam and Russia TR 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 Russia TR 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 Russia TR i.e. Russia TR and AEX Amsterdam go up and down completely randomly.