This module allows you to analyze existing cross correlation between OMXVGI and Taiwan Wtd. You can compare the effects of market volatilities on OMXVGI and Taiwan Wtd 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 Taiwan Wtd. See also your portfolio center
. Please also check ongoing floating volatility patterns of OMXVGI
and Taiwan Wtd
OMXVGI vs. Taiwan Wtd
Assuming 30 trading days horizon, OMXVGI is expected to generate 0.59 times more return on investment than Taiwan Wtd. However, OMXVGI is 1.7 times less risky than Taiwan Wtd. It trades about 0.16 of its potential returns per unit of risk. Taiwan Wtd is currently generating about -0.06 per unit of risk. If you would invest 67,362 in OMXVGI on March 28, 2018 and sell it today you would earn a total of 2,696 from holding OMXVGI or generate 4.0% return on investment over 30 days.
Pair Corralation between OMXVGI and Taiwan Wtd
|Time Period||2 Months [change]|
Almost no diversification
Overlapping area represents the amount of risk that can be diversified away by holding OMXVGI and Taiwan Wtd in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Taiwan Wtd 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 Taiwan Wtd. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Taiwan Wtd has no effect on the direction of OMXVGI i.e. OMXVGI and Taiwan Wtd go up and down completely randomly.
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