Pair Correlation Between OMXVGI and Swiss Mrt

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

Pair Volatility

Assuming 30 trading days horizon, OMXVGI is expected to generate 12.76 times less return on investment than Swiss Mrt. But when comparing it to its historical volatility, OMXVGI is 1.89 times less risky than Swiss Mrt. It trades about 0.03 of its potential returns per unit of risk. Swiss Mrt is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  908,404  in Swiss Mrt on October 25, 2017 and sell it today you would earn a total of  23,152  from holding Swiss Mrt or generate 2.55% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between OMXVGI and Swiss Mrt
0.1

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy91.3%
ValuesDaily Returns

Diversification

Average diversification

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

 Predicted Return Density 
      Returns