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
Symbolsvs
 MerVal  vs   OMXRGI
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 1.8 times more return on investment than OMXRGI. However, MerVal is 1.8 times more volatile than OMXRGI. It trades about 0.83 of its potential returns per unit of risk. OMXRGI is currently generating about 0.06 per unit of risk. If you would invest  2,713,732  in MerVal on December 17, 2017 and sell it today you would earn a total of  638,431  from holding MerVal or generate 23.53% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and OMXRGI
0.37

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy85.71%
ValuesDaily Returns

Diversification

Weak 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.
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Comparative Volatility

 Predicted Return Density 
      Returns