Pair Correlation Between Swiss Mrt and OMXRGI

This module allows you to analyze existing cross correlation between Swiss Mrt and OMXRGI. You can compare the effects of market volatilities on Swiss Mrt 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 Swiss Mrt with a short position of OMXRGI. See also your portfolio center. Please also check ongoing floating volatility patterns of Swiss Mrt and OMXRGI.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 Swiss Mrt  vs   OMXRGI
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Swiss Mrt is expected to under-perform the OMXRGI. In addition to that, Swiss Mrt is 1.04 times more volatile than OMXRGI. It trades about -0.26 of its total potential returns per unit of risk. OMXRGI is currently generating about -0.08 per unit of volatility. If you would invest  103,719  in OMXRGI on January 23, 2018 and sell it today you would lose (1,793)  from holding OMXRGI or give up 1.73% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Swiss Mrt and OMXRGI
0.83

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy90.91%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Swiss Mrt and OMXRGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXRGI and Swiss Mrt 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 Swiss Mrt 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 Swiss Mrt i.e. Swiss Mrt and OMXRGI go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns