This module allows you to analyze existing cross correlation between OMXRGI and NQFI. You can compare the effects of market volatilities on OMXRGI and NQFI 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 NQFI. See also your portfolio center
. Please also check ongoing floating volatility patterns of OMXRGI
OMXRGI vs. NQFI
Assuming 30 trading days horizon, OMXRGI is expected to generate 1.17 times more return on investment than NQFI. However, OMXRGI is 1.17 times more volatile than NQFI. It trades about 0.07 of its potential returns per unit of risk. NQFI is currently generating about -0.04 per unit of risk. If you would invest 102,134 in OMXRGI on March 25, 2018 and sell it today you would earn a total of 2,737 from holding OMXRGI or generate 2.68% return on investment over 30 days.
Pair Corralation between OMXRGI and NQFI
|Time Period||2 Months [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding OMXRGI and NQFI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQFI 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 NQFI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQFI has no effect on the direction of OMXRGI i.e. OMXRGI and NQFI go up and down completely randomly.
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