Pair Correlation 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.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 XU100  vs   OMX COPENHAGEN
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the OMX COPENHAGEN. In addition to that, XU100 is 1.1 times more volatile than OMX COPENHAGEN. It trades about -0.13 of its total potential returns per unit of risk. OMX COPENHAGEN is currently generating about -0.06 per unit of volatility. If you would invest  137,781  in OMX COPENHAGEN on January 26, 2018 and sell it today you would lose (1,814)  from holding OMX COPENHAGEN or give up 1.32% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and OMX COPENHAGEN
0.16

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy86.36%
ValuesDaily Returns

Diversification

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.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns