Pair Correlation Between OMXVGI and MerVal

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

Pair Volatility

Assuming 30 trading days horizon, OMXVGI is expected to generate 9.22 times less return on investment than MerVal. But when comparing it to its historical volatility, OMXVGI is 2.58 times less risky than MerVal. It trades about 0.21 of its potential returns per unit of risk. MerVal is currently generating about 0.74 of returns per unit of risk over similar time horizon. If you would invest  2,806,896  in MerVal on December 20, 2017 and sell it today you would earn a total of  598,039  from holding MerVal or generate 21.31% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between OMXVGI and MerVal
0.84

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy86.36%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns