Correlation Analysis Between OSE All and OMXVGI

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

 Predicted Return Density 
      Returns 

OSE All  vs.  OMXVGI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OSE All is expected to under-perform the OMXVGI. In addition to that, OSE All is 2.73 times more volatile than OMXVGI. It trades about -0.12 of its total potential returns per unit of risk. OMXVGI is currently generating about -0.23 per unit of volatility. If you would invest  66,243  in OMXVGI on November 14, 2018 and sell it today you would lose (3,277)  from holding OMXVGI or give up 4.95% of portfolio value over 30 days.

Pair Corralation between OSE All and OMXVGI

0.77
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy93.33%
ValuesDaily Returns

Diversification Opportunities for OSE All and OMXVGI

OSE All diversification synergy

Poor diversification

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