Pair Correlation Between SP 500 and OMX COPENHAGEN

This module allows you to analyze existing cross correlation between S&P 500 and OMX COPENHAGEN. You can compare the effects of market volatilities on SP 500 and OMX COPENHAGEN 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 SP 500 with a short position of OMX COPENHAGEN. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and OMX COPENHAGEN.
 Time Horizon     30 Days    Login   to change
Symbolsvs

S&P 500  vs.  OMX COPENHAGEN

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the OMX COPENHAGEN. In addition to that, SP 500 is 2.19 times more volatile than OMX COPENHAGEN. It trades about -0.02 of its total potential returns per unit of risk. OMX COPENHAGEN is currently generating about -0.02 per unit of volatility. If you would invest  133,810  in OMX COPENHAGEN on March 23, 2018 and sell it today you would lose (906.69)  from holding OMX COPENHAGEN or give up 0.68% of portfolio value over 30 days.

Pair Corralation between SP 500 and OMX COPENHAGEN

0.82
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy98.0%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and OMX COPENHAGEN in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMX COPENHAGEN and SP 500 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 S&P 500 are associated (or correlated) with OMX COPENHAGEN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OMX COPENHAGEN has no effect on the direction of SP 500 i.e. SP 500 and OMX COPENHAGEN go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.