Correlation Analysis Between OMXRGI and NZSE

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

OMXRGI  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to under-perform the NZSE. In addition to that, OMXRGI is 1.94 times more volatile than NZSE. It trades about -0.06 of its total potential returns per unit of risk. NZSE is currently generating about 0.16 per unit of volatility. If you would invest  914,115  in NZSE on August 22, 2018 and sell it today you would earn a total of  21,972  from holding NZSE or generate 2.4% return on investment over 30 days.

Pair Corralation between OMXRGI and NZSE

0.17
Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Average diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.


 
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