Pair Correlation Between MerVal and OMX COPENHAGEN

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

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 3.22 times more return on investment than OMX COPENHAGEN. However, MerVal is 3.22 times more volatile than OMX COPENHAGEN. It trades about 0.54 of its potential returns per unit of risk. OMX COPENHAGEN is currently generating about 0.29 per unit of risk. If you would invest  2,918,562  in MerVal on December 23, 2017 and sell it today you would earn a total of  440,608  from holding MerVal or generate 15.1% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and OMX COPENHAGEN
0.81

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy90.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns