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This module allows you to analyze existing cross correlation between OMXRGI and Seoul Comp. You can compare the effects of market volatilities on OMXRGI and Seoul Comp 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 Seoul Comp. See also your portfolio center. Please also check ongoing floating volatility patterns of OMXRGI and Seoul Comp.
|Horizon||30 Days Login to change|
Predicted Return Density
OMXRGI vs. Seoul Comp
Assuming 30 trading days horizon, OMXRGI is expected to generate 1.08 times more return on investment than Seoul Comp. However, OMXRGI is 1.08 times more volatile than Seoul Comp. It trades about -0.03 of its potential returns per unit of risk. Seoul Comp is currently generating about -0.11 per unit of risk. If you would invest 96,324 in OMXRGI on November 18, 2018 and sell it today you would lose (1,233) from holding OMXRGI or give up 1.28% of portfolio value over 30 days.
Pair Corralation between OMXRGI and Seoul Comp
|Time Period||2 Months [change]|
Diversification Opportunities for OMXRGI and Seoul Comp
Overlapping area represents the amount of risk that can be diversified away by holding OMXRGI and Seoul Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Seoul Comp 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 Seoul Comp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Seoul Comp has no effect on the direction of OMXRGI i.e. OMXRGI and Seoul Comp go up and down completely randomly.