Correlation Analysis Between Hang Seng and OMXVGI

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

Hang Seng  vs.  OMXVGI

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Hang Seng is expected to generate 2.8 times more return on investment than OMXVGI. However, Hang Seng is 2.8 times more volatile than OMXVGI. It trades about -0.05 of its potential returns per unit of risk. OMXVGI is currently generating about -0.38 per unit of risk. If you would invest  2,772,963  in Hang Seng on August 21, 2018 and sell it today you would lose (35,885)  from holding Hang Seng or give up 1.29% of portfolio value over 30 days.

Pair Corralation between Hang Seng and OMXVGI

0.71
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Hang Seng and OMXVGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXVGI and Hang Seng 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 Hang Seng 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 Hang Seng i.e. Hang Seng and OMXVGI go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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