Pair Correlation Between Russia TR and OMXRGI

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

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 3.59 times less return on investment than OMXRGI. In addition to that, Russia TR is 2.59 times more volatile than OMXRGI. It trades about 0.02 of its total potential returns per unit of risk. OMXRGI is currently generating about 0.22 per unit of volatility. If you would invest  101,716  in OMXRGI on October 20, 2017 and sell it today you would earn a total of  1,951  from holding OMXRGI or generate 1.92% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russia TR and OMXRGI
0.54

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns