Correlation Analysis Between OMXRGI and Russia TR

This module allows you to analyze existing cross correlation between OMXRGI and Russia TR. You can compare the effects of market volatilities on OMXRGI and Russia TR 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 Russia TR. See also your portfolio center. Please also check ongoing floating volatility patterns of OMXRGI and Russia TR.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

OMXRGI  vs.  Russia TR

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to generate 0.95 times more return on investment than Russia TR. However, OMXRGI is 1.05 times less risky than Russia TR. It trades about 0.09 of its potential returns per unit of risk. Russia TR is currently generating about 0.0 per unit of risk. If you would invest  93,536  in OMXRGI on November 14, 2018 and sell it today you would earn a total of  2,817  from holding OMXRGI or generate 3.01% return on investment over 30 days.

Pair Corralation between OMXRGI and Russia TR

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for OMXRGI and Russia TR

OMXRGI diversification synergy

Good diversification

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

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See also your portfolio center. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.