Correlation Analysis Between FTSE MIB and OMXRGI

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

FTSE MIB  vs.  OMXRGI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, FTSE MIB is expected to under-perform the OMXRGI. In addition to that, FTSE MIB is 73.53 times more volatile than OMXRGI. It trades about -0.58 of its total potential returns per unit of risk. OMXRGI is currently generating about 0.02 per unit of volatility. If you would invest  104,711  in OMXRGI on May 19, 2018 and sell it today you would earn a total of  307.36  from holding OMXRGI or generate 0.29% return on investment over 30 days.

Pair Corralation between FTSE MIB and OMXRGI

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy9.68%
ValuesDaily Returns

Diversification

Pay attention

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

 Predicted Return Density 
      Returns 

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