Correlation Analysis Between OMX COPENHAGEN and NZSE

This module allows you to analyze existing cross correlation between OMX COPENHAGEN and NZSE. You can compare the effects of market volatilities on OMX COPENHAGEN and NZSE 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 OMX COPENHAGEN with a short position of NZSE. See also your portfolio center. Please also check ongoing floating volatility patterns of OMX COPENHAGEN and NZSE.
Horizon     30 Days    Login   to change


 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, OMX COPENHAGEN is expected to generate 1.62 times more return on investment than NZSE. However, OMX COPENHAGEN is 1.62 times more volatile than NZSE. It trades about 0.04 of its potential returns per unit of risk. NZSE is currently generating about 0.02 per unit of risk. If you would invest  126,840  in OMX COPENHAGEN on November 9, 2018 and sell it today you would earn a total of  2,122  from holding OMX COPENHAGEN or generate 1.67% return on investment over 30 days.

Pair Corralation between OMX COPENHAGEN and NZSE

Time Period2 Months [change]
ValuesDaily Returns


OMX COPENHAGEN diversification synergy

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding OMX COPENHAGEN and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE and OMX COPENHAGEN 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 OMX COPENHAGEN are associated (or correlated) with NZSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NZSE has no effect on the direction of OMX COPENHAGEN i.e. OMX COPENHAGEN and NZSE go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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