Pair Correlation Between OSE All and SP 500

This module allows you to analyze existing cross correlation between OSE All and S&P 500. You can compare the effects of market volatilities on OSE All and SP 500 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 OSE All with a short position of SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of OSE All and SP 500.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 OSE All  vs   S&P 500
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OSE All is expected to generate 1.97 times more return on investment than SP 500. However, OSE All is 1.97 times more volatile than S&P 500. It trades about 0.06 of its potential returns per unit of risk. S&P 500 is currently generating about 0.02 per unit of risk. If you would invest  87,423  in OSE All on October 20, 2017 and sell it today you would earn a total of  762  from holding OSE All or generate 0.87% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between OSE All and SP 500
0.83

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding OSE All and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 and OSE All 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 OSE All are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of OSE All i.e. OSE All and SP 500 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns