Correlation Analysis Between ATX and OMXRGI

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

 Predicted Return Density 
      Returns 

ATX  vs.  OMXRGI

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the OMXRGI. In addition to that, ATX is 1.39 times more volatile than OMXRGI. It trades about -0.13 of its total potential returns per unit of risk. OMXRGI is currently generating about 0.09 per unit of volatility. If you would invest  93,536  in OMXRGI on November 14, 2018 and sell it today you would earn a total of  2,817  from holding OMXRGI or generate 3.01% return on investment over 30 days.

Pair Corralation between ATX and OMXRGI

-0.03
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy59.57%
ValuesDaily Returns

Diversification Opportunities for ATX and OMXRGI

ATX diversification synergy

Good diversification

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