Pair Correlation Between OMX COPENHAGEN and Taiwan Wtd

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

Pair Volatility

Assuming 30 trading days horizon, OMX COPENHAGEN is expected to generate 2.57 times less return on investment than Taiwan Wtd. But when comparing it to its historical volatility, OMX COPENHAGEN is 1.24 times less risky than Taiwan Wtd. It trades about 0.3 of its potential returns per unit of risk. Taiwan Wtd is currently generating about 0.63 of returns per unit of risk over similar time horizon. If you would invest  1,052,249  in Taiwan Wtd on December 24, 2017 and sell it today you would earn a total of  70,897  from holding Taiwan Wtd or generate 6.74% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between OMX COPENHAGEN and Taiwan Wtd
0.85

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy90.48%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns