Correlation Analysis Between OSE All and OMXRGI

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

OSE All  vs.  OMXRGI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OSE All is expected to generate 0.6 times more return on investment than OMXRGI. However, OSE All is 1.66 times less risky than OMXRGI. It trades about 0.13 of its potential returns per unit of risk. OMXRGI is currently generating about -0.07 per unit of risk. If you would invest  100,651  in OSE All on August 21, 2018 and sell it today you would earn a total of  2,441  from holding OSE All or generate 2.43% return on investment over 30 days.

Pair Corralation between OSE All and OMXRGI

0.56
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.


 
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