Correlation Analysis Between OMXVGI and Russia TR

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

 Predicted Return Density 
      Returns 

OMXVGI  vs.  Russia TR

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXVGI is expected to under-perform the Russia TR. But the index apears to be less risky and, when comparing its historical volatility, OMXVGI is 2.65 times less risky than Russia TR. The index trades about -0.23 of its potential returns per unit of risk. The Russia TR is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  120,678  in Russia TR on November 14, 2018 and sell it today you would lose (425.00)  from holding Russia TR or give up 0.35% of portfolio value over 30 days.

Pair Corralation between OMXVGI and Russia TR

-0.03
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy93.33%
ValuesDaily Returns

Diversification Opportunities for OMXVGI and Russia TR

OMXVGI diversification synergy

Good diversification

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