Correlation Analysis Between OMXRGI and Russell 2000

This module allows you to analyze existing cross correlation between OMXRGI and Russell 2000 . You can compare the effects of market volatilities on OMXRGI and Russell 2000 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 Russell 2000. See also your portfolio center. Please also check ongoing floating volatility patterns of OMXRGI and Russell 2000.
 Time Horizon     30 Days    Login   to change
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OMXRGI  vs.  Russell 2000

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to under-perform the Russell 2000. In addition to that, OMXRGI is 1.34 times more volatile than Russell 2000 . It trades about -0.08 of its total potential returns per unit of risk. Russell 2000 is currently generating about -0.04 per unit of volatility. If you would invest  169,841  in Russell 2000 on July 21, 2018 and sell it today you would lose (1,266)  from holding Russell 2000 or give up 0.75% of portfolio value over 30 days.

Pair Corralation between OMXRGI and Russell 2000

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy72.41%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding OMXRGI and Russell 2000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 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 Russell 2000. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russell 2000 has no effect on the direction of OMXRGI i.e. OMXRGI and Russell 2000 go up and down completely randomly.
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Comparative Volatility

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