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
OMXVGI vs. MerVal
Assuming 30 trading days horizon, OMXVGI is expected to under-perform the MerVal. But the index apears to be less risky and, when comparing its historical volatility, OMXVGI is 8.36 times less risky than MerVal. The index trades about -0.18 of its potential returns per unit of risk. The MerVal is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 2,676,507 in MerVal on July 17, 2018 and sell it today you would earn a total of 24,313 from holding MerVal or generate 0.91% return on investment over 30 days.
Pair Corralation between OMXVGI and MerVal
|Time Period||1 Month [change]|
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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See also your portfolio center
. Please also try My Watchlist Analysis
module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.