Pair Correlation Between OMXVGI and DOW

This module allows you to analyze existing cross correlation between OMXVGI and DOW. You can compare the effects of market volatilities on OMXVGI and DOW 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 DOW. See also your portfolio center. Please also check ongoing floating volatility patterns of OMXVGI and DOW.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 OMXVGI  vs   DOW
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXVGI is expected to generate 2.21 times less return on investment than DOW. But when comparing it to its historical volatility, OMXVGI is 1.41 times less risky than DOW. It trades about 0.1 of its potential returns per unit of risk. DOW is currently generating about 0.16 of returns per unit of risk over similar time horizon. If you would invest  2,316,304  in DOW on October 19, 2017 and sell it today you would earn a total of  29,532  from holding DOW or generate 1.27% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between OMXVGI and DOW
0.71

Parameters

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

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns