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

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to generate 2.23 times less return on investment than Russia TR. But when comparing it to its historical volatility, OMXRGI is 3.08 times less risky than Russia TR. It trades about 0.18 of its potential returns per unit of risk. Russia TR is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  99,969  in Russia TR on October 24, 2017 and sell it today you would earn a total of  3,154  from holding Russia TR or generate 3.15% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between OMXRGI and Russia TR
0.51

Parameters

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

Diversification

Very weak 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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Comparative Volatility

 Predicted Return Density 
      Returns