Correlation Analysis 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.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 

OSE All  vs.  S&P 500

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, OSE All is expected to generate 1.25 times more return on investment than SP 500. However, OSE All is 1.25 times more volatile than S&P 500. It trades about 0.03 of its potential returns per unit of risk. S&P 500 is currently generating about 0.01 per unit of risk. If you would invest  95,961  in OSE All on September 16, 2019 and sell it today you would earn a total of  1,884  from holding OSE All or generate 1.96% return on investment over 30 days.

Pair Corralation between OSE All and SP 500

Time Period3 Months [change]
ValuesDaily Returns

Diversification Opportunities for OSE All and SP 500

OSE All diversification synergy

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.
See also your portfolio center. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.