Correlation Analysis Between OMXRGI and Straits Tms

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

OMXRGI  vs.  Straits Tms

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to generate 1.26 times more return on investment than Straits Tms. However, OMXRGI is 1.26 times more volatile than Straits Tms. It trades about -0.1 of its potential returns per unit of risk. Straits Tms is currently generating about -0.14 per unit of risk. If you would invest  102,797  in OMXRGI on July 19, 2018 and sell it today you would lose (2,746)  from holding OMXRGI or give up 2.67% of portfolio value over 30 days.

Pair Corralation between OMXRGI and Straits Tms

-0.19
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy72.41%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding OMXRGI and Straits Tms in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Straits Tms 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 Straits Tms. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Straits Tms has no effect on the direction of OMXRGI i.e. OMXRGI and Straits Tms 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 Commodity Channel Index module to use commodity channel index to analyze current equity momentum.