Pair Correlation Between IPC and OMXRGI

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

Pair Volatility

Given the investment horizon of 30 days, IPC is expected to under-perform the OMXRGI. But the index apears to be less risky and, when comparing its historical volatility, IPC is 1.18 times less risky than OMXRGI. The index trades about -0.19 of its potential returns per unit of risk. The OMXRGI is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest  103,719  in OMXRGI on January 23, 2018 and sell it today you would lose (1,793)  from holding OMXRGI or give up 1.73% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between IPC and OMXRGI
0.87

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.24%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns