Correlation Analysis Between OMXRGI and OMXVGI

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

 Predicted Return Density 
      Returns 

OMXRGI  vs.  OMXVGI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to generate 2.73 times more return on investment than OMXVGI. However, OMXRGI is 2.73 times more volatile than OMXVGI. It trades about 0.16 of its potential returns per unit of risk. OMXVGI is currently generating about 0.19 per unit of risk. If you would invest  94,518  in OMXRGI on January 18, 2019 and sell it today you would earn a total of  3,464  from holding OMXRGI or generate 3.66% return on investment over 30 days.

Pair Corralation between OMXRGI and OMXVGI

0.29
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy51.35%
ValuesDaily Returns

Diversification Opportunities for OMXRGI and OMXVGI

OMXRGI diversification synergy

Modest diversification

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