Correlation Analysis Between OMXVGI and EURONEXT BEL-20

This module allows you to analyze existing cross correlation between OMXVGI and EURONEXT BEL-20. You can compare the effects of market volatilities on OMXVGI and EURONEXT BEL-20 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 OMXVGI with a short position of EURONEXT BEL-20. See also your portfolio center. Please also check ongoing floating volatility patterns of OMXVGI and EURONEXT BEL-20.
Horizon     30 Days    Login   to change
Symbolsvs

OMXVGI  vs.  EURONEXT BEL-20

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXVGI is expected to under-perform the EURONEXT BEL-20. But the index apears to be less risky and, when comparing its historical volatility, OMXVGI is 2.28 times less risky than EURONEXT BEL-20. The index trades about -0.23 of its potential returns per unit of risk. The EURONEXT BEL-20 is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  350,503  in EURONEXT BEL-20 on November 12, 2018 and sell it today you would lose (10,379)  from holding EURONEXT BEL-20 or give up 2.96% of portfolio value over 30 days.

Pair Corralation between OMXVGI and EURONEXT BEL-20

0.25
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy93.02%
ValuesDaily Returns

Diversification

OMXVGI diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding OMXVGI and EURONEXT BEL-20 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on EURONEXT BEL-20 and OMXVGI 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 OMXVGI are associated (or correlated) with EURONEXT BEL-20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EURONEXT BEL-20 has no effect on the direction of OMXVGI i.e. OMXVGI and EURONEXT BEL-20 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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