This module allows you to analyze existing cross correlation between OMXVGI and BSE. You can compare the effects of market volatilities on OMXVGI and BSE 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 BSE. See also your portfolio center
. Please also check ongoing floating volatility patterns of OMXVGI
OMXVGI vs. BSE
Assuming 30 trading days horizon, OMXVGI is expected to generate 45.42 times less return on investment than BSE. But when comparing it to its historical volatility, OMXVGI is 2.78 times less risky than BSE. It trades about 0.01 of its potential returns per unit of risk. BSE is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 3,528,674 in BSE on June 18, 2018 and sell it today you would earn a total of 121,379 from holding BSE or generate 3.44% return on investment over 30 days.
Pair Corralation between OMXVGI and BSE
|Time Period||1 Month [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding OMXVGI and BSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BSE 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 BSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BSE has no effect on the direction of OMXVGI i.e. OMXVGI and BSE go up and down completely randomly.
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