Correlation Analysis Between OMXVGI and Straits Tms

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

OMXVGI  vs.  Straits Tms

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXVGI is expected to under-perform the Straits Tms. But the index apears to be less risky and, when comparing its historical volatility, OMXVGI is 1.52 times less risky than Straits Tms. The index trades about -0.25 of its potential returns per unit of risk. The Straits Tms is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  304,597  in Straits Tms on October 15, 2018 and sell it today you would earn a total of  763.00  from holding Straits Tms or generate 0.25% return on investment over 30 days.

Pair Corralation between OMXVGI and Straits Tms

0.16
Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

OMXVGI diversification synergy

Average diversification

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

 Predicted Return Density 
      Returns 

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