Pair Correlation Between SP 500 and OMXRGI

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

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the OMXRGI. But the index apears to be less risky and, when comparing its historical volatility, S&P 500 is 1.2 times less risky than OMXRGI. The index trades about -0.09 of its potential returns per unit of risk. The OMXRGI is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  101,468  in OMXRGI on February 22, 2018 and sell it today you would earn a total of  2,548  from holding OMXRGI or generate 2.51% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SP 500 and OMXRGI


Time Period1 Month [change]
ValuesDaily Returns


Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and OMXRGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXRGI 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 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 SP 500 i.e. SP 500 and OMXRGI go up and down completely randomly.

Comparative Volatility

 Predicted Return Density