Correlation Analysis Between XU100 and OMX COPENHAGEN

This module allows you to analyze existing cross correlation between XU100 and OMX COPENHAGEN. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of OMX COPENHAGEN. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and OMX COPENHAGEN.
Horizon     30 Days    Login   to change


 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the OMX COPENHAGEN. In addition to that, XU100 is 1.62 times more volatile than OMX COPENHAGEN. It trades about -0.04 of its total potential returns per unit of risk. OMX COPENHAGEN is currently generating about 0.04 per unit of volatility. If you would invest  125,610  in OMX COPENHAGEN on November 10, 2018 and sell it today you would earn a total of  1,910  from holding OMX COPENHAGEN or generate 1.52% return on investment over 30 days.

Pair Corralation between XU100 and OMX COPENHAGEN

Time Period2 Months [change]
ValuesDaily Returns


XU100 diversification synergy

Average diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and OMX COPENHAGEN in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMX COPENHAGEN and XU100 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 XU100 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 XU100 i.e. XU100 and OMX COPENHAGEN go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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