Pair Correlation Between MerVal and OMXRGI

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

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the OMXRGI. But the index apears to be less risky and, when comparing its historical volatility, MerVal is 1.02 times less risky than OMXRGI. The index trades about -0.1 of its potential returns per unit of risk. The OMXRGI is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  102,425  in OMXRGI on February 20, 2018 and sell it today you would earn a total of  1,266  from holding OMXRGI or generate 1.24% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between MerVal 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 MerVal and OMXRGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXRGI 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 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 MerVal i.e. MerVal and OMXRGI go up and down completely randomly.

Comparative Volatility

 Predicted Return Density