Pair Correlation Between OSE All and Russia TR

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

Pair Volatility

Assuming 30 trading days horizon, OSE All is expected to generate 0.67 times more return on investment than Russia TR. However, OSE All is 1.49 times less risky than Russia TR. It trades about 0.12 of its potential returns per unit of risk. Russia TR is currently generating about 0.0 per unit of risk. If you would invest  87,143  in OSE All on October 22, 2017 and sell it today you would earn a total of  1,481  from holding OSE All or generate 1.7% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between OSE All and Russia TR
0.6

Parameters

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

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns