Correlation Analysis Between SP 500 and OMXVGI

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

S&P 500  vs.  OMXVGI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the OMXVGI. In addition to that, SP 500 is 1.53 times more volatile than OMXVGI. It trades about -0.24 of its total potential returns per unit of risk. OMXVGI is currently generating about -0.1 per unit of volatility. If you would invest  68,472  in OMXVGI on September 20, 2018 and sell it today you would lose (1,123)  from holding OMXVGI or give up 1.64% of portfolio value over 30 days.

Pair Corralation between SP 500 and OMXVGI

0.87
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and OMXVGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXVGI 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 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 SP 500 i.e. SP 500 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
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ExchangeNASDAQ
$1115.69

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