Correlation Analysis Between OMXRGI and AEX Amsterdam

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

OMXRGI  vs.  AEX Amsterdam

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to generate 1.23 times more return on investment than AEX Amsterdam. However, OMXRGI is 1.23 times more volatile than AEX Amsterdam. It trades about 0.04 of its potential returns per unit of risk. AEX Amsterdam is currently generating about -0.06 per unit of risk. If you would invest  93,536  in OMXRGI on November 11, 2018 and sell it today you would earn a total of  1,094  from holding OMXRGI or generate 1.17% return on investment over 30 days.

Pair Corralation between OMXRGI and AEX Amsterdam

Time Period2 Months [change]
ValuesDaily Returns


OMXRGI diversification synergy

Good diversification

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

Comparative Volatility

 Predicted Return Density 

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