Correlation Analysis Between All Ords and OMXVGI

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

All Ords  vs.  OMXVGI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to generate 1.88 times more return on investment than OMXVGI. However, All Ords is 1.88 times more volatile than OMXVGI. It trades about -0.1 of its potential returns per unit of risk. OMXVGI is currently generating about -0.23 per unit of risk. If you would invest  594,800  in All Ords on November 12, 2018 and sell it today you would lose (22,070)  from holding All Ords or give up 3.71% of portfolio value over 30 days.

Pair Corralation between All Ords and OMXVGI

0.78
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy87.5%
ValuesDaily Returns

Diversification

All Ords diversification synergy

Poor diversification

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

 Predicted Return Density 
      Returns 

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1075.28

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