Correlation Between OMX COPENHAGEN and SKAGEN M2

By analyzing existing cross correlation between OMX COPENHAGEN and SKAGEN M2 A you can compare the effects of market volatilities on OMX COPENHAGEN and SKAGEN M2 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 OMX COPENHAGEN with a short position of SKAGEN M2. Check out your portfolio center. Please also check ongoing floating volatility patterns of OMX COPENHAGEN and SKAGEN M2.

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Can any of the company-specific risk be diversified away by investing in both OMX COPENHAGEN and SKAGEN M2 at the same time? Although using correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combing OMX COPENHAGEN and SKAGEN M2 into the same portfolio which is an essential part of fundamental portfolio management process.

Diversification Opportunities for OMX COPENHAGEN and SKAGEN M2

0.13
Correlation
OC
SM

Average diversification

The 3 months correlation between OMXCGI and SKAGEN is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding OMX COPENHAGEN and SKAGEN M2 A in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SKAGEN M2 A and OMX COPENHAGEN 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 OMX COPENHAGEN are associated (or correlated) with SKAGEN M2. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SKAGEN M2 A has no effect on the direction of OMX COPENHAGEN i.e. OMX COPENHAGEN and SKAGEN M2 go up and down completely randomly.
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Pair Corralation between OMX COPENHAGEN and SKAGEN M2

Assuming 30 trading days horizon, OMX COPENHAGEN is expected to generate 0.34 times more return on investment than SKAGEN M2. However, OMX COPENHAGEN is 2.98 times less risky than SKAGEN M2. It trades about 0.04 of its potential returns per unit of risk. SKAGEN M2 A is currently generating about -0.17 per unit of risk. If you would invest  160,406  in OMX COPENHAGEN on April 24, 2020 and sell it today you would earn a total of  6,440  from holding OMX COPENHAGEN or generate 4.01% return on investment over 30 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy24.24%
ValuesDaily Returns

OMX COPENHAGEN  vs.  SKAGEN M2 A

 Performance (%) 
      Timeline 
 Predicted Return Density 
      Returns 
Check out your portfolio center. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.


 
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