This module allows you to analyze existing cross correlation between NZSE and OMXRGI. You can compare the effects of market volatilities on NZSE 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 NZSE with a short position of OMXRGI. See also your portfolio center. Please also check ongoing floating volatility patterns of NZSE and OMXRGI.
|Time Horizon||30 Days Login to change|
Assuming 30 trading days horizon, NZSE is expected to under-perform the OMXRGI. But the index apears to be less risky and, when comparing its historical volatility, NZSE is 1.53 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 0.06 of returns per unit of risk over similar time horizon. If you would invest 101,660 in OMXRGI on December 18, 2017 and sell it today you would earn a total of 732 from holding OMXRGI or generate 0.72% return on investment over 30 days.