Correlation Analysis Between Russell 2000 and OMX COPENHAGEN

This module allows you to analyze existing cross correlation between Russell 2000 and OMX COPENHAGEN. You can compare the effects of market volatilities on Russell 2000 and OMX COPENHAGEN 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 Russell 2000 with a short position of OMX COPENHAGEN. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and OMX COPENHAGEN.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

Russell 2000   vs.  OMX COPENHAGEN

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to under-perform the OMX COPENHAGEN. In addition to that, Russell 2000 is 1.36 times more volatile than OMX COPENHAGEN. It trades about -0.18 of its total potential returns per unit of risk. OMX COPENHAGEN is currently generating about 0.02 per unit of volatility. If you would invest  129,740  in OMX COPENHAGEN on November 15, 2018 and sell it today you would earn a total of  808.00  from holding OMX COPENHAGEN or generate 0.62% return on investment over 30 days.

Pair Corralation between Russell 2000 and OMX COPENHAGEN

0.35
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy95.56%
ValuesDaily Returns

Diversification Opportunities for Russell 2000 and OMX COPENHAGEN

Russell 2000  diversification synergy

Weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and OMX COPENHAGEN in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMX COPENHAGEN and Russell 2000 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 Russell 2000 are associated (or correlated) with OMX COPENHAGEN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OMX COPENHAGEN has no effect on the direction of Russell 2000 i.e. Russell 2000 and OMX COPENHAGEN go up and down completely randomly.
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