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.
Assuming 30 trading days horizon, OMXVGI is expected to under-perform the DOW. But the index apears to be less risky and, when comparing its historical volatility, OMXVGI is 1.61 times less risky than DOW. The index trades about -0.17 of its potential returns per unit of risk. The DOW is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest 2,624,696 in DOW on September 18, 2018 and sell it today you would lose (54,028) from holding DOW or give up 2.06% of portfolio value over 30 days.
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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