Pair Correlation Between OMXVGI and DAX

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

Pair Volatility

Assuming 30 trading days horizon, OMXVGI is expected to under-perform the DAX. In addition to that, OMXVGI is 1.52 times more volatile than DAX. It trades about -0.22 of its total potential returns per unit of risk. DAX is currently generating about -0.27 per unit of volatility. If you would invest  1,334,017  in DAX on January 26, 2018 and sell it today you would lose (85,638)  from holding DAX or give up 6.42% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between OMXVGI and DAX
0.74

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy90.91%
ValuesDaily Returns

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns