This module allows you to analyze existing cross correlation between NQEGT and OMXRGI. You can compare the effects of market volatilities on NQEGT 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 NQEGT with a short position of OMXRGI. See also your portfolio center. Please also check ongoing floating volatility patterns of NQEGT and OMXRGI.
Assuming 30 trading days horizon, NQEGT is expected to under-perform the OMXRGI. In addition to that, NQEGT is 1.04 times more volatile than OMXRGI. It trades about -0.2 of its total potential returns per unit of risk. OMXRGI is currently generating about -0.16 per unit of volatility. If you would invest 105,969 in OMXRGI on June 19, 2018 and sell it today you would lose (2,987) from holding OMXRGI or give up 2.82% of portfolio value over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding NQEGT and OMXRGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXRGI and NQEGT 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 NQEGT 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 NQEGT i.e. NQEGT and OMXRGI go up and down completely randomly.
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