Pair Correlation 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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 OMXRGI  vs   AEX Amsterdam
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to generate 7.03 times less return on investment than AEX Amsterdam. But when comparing it to its historical volatility, OMXRGI is 35.56 times less risky than AEX Amsterdam. It trades about 0.3 of its potential returns per unit of risk. AEX Amsterdam is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  83,388  in AEX Amsterdam on October 23, 2017 and sell it today you would lose (301)  from holding AEX Amsterdam or give up 0.36% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between OMXRGI and AEX Amsterdam
-0.6

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthWeak
Accuracy91.3%
ValuesDaily Returns

Diversification

Excellent 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.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns