Correlation Analysis Between NYSE and EURONEXT BEL-20

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

 Predicted Return Density 
      Returns 

NYSE  vs.  EURONEXT BEL-20

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to generate 0.75 times more return on investment than EURONEXT BEL-20. However, NYSE is 1.33 times less risky than EURONEXT BEL-20. It trades about -0.04 of its potential returns per unit of risk. EURONEXT BEL-20 is currently generating about -0.3 per unit of risk. If you would invest  1,292,271  in NYSE on May 18, 2019 and sell it today you would lose (17,571)  from holding NYSE or give up 1.36% of portfolio value over 30 days.

Pair Corralation between NYSE and EURONEXT BEL-20

0.79
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy97.56%
ValuesDaily Returns

Diversification Opportunities for NYSE and EURONEXT BEL-20

NYSE diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding NYSE 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 NYSE 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 NYSE 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 NYSE i.e. NYSE and EURONEXT BEL-20 go up and down completely randomly.
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See also your portfolio center. Please also try Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.


 
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