This module allows you to analyze existing cross correlation between OMXVGI and Swiss Mrt. You can compare the effects of market volatilities on OMXVGI and Swiss Mrt 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 OMXVGI with a short position of Swiss Mrt. See also your portfolio center. Please also check ongoing floating volatility patterns of OMXVGI and Swiss Mrt.
|Horizon||30 Days Login to change|
Predicted Return Density
OMXVGI vs. Swiss Mrt
Assuming 30 trading days horizon, OMXVGI is expected to under-perform the Swiss Mrt. But the index apears to be less risky and, when comparing its historical volatility, OMXVGI is 2.54 times less risky than Swiss Mrt. The index trades about -0.1 of its potential returns per unit of risk. The Swiss Mrt is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 963,507 in Swiss Mrt on May 19, 2019 and sell it today you would earn a total of 21,650 from holding Swiss Mrt or generate 2.25% return on investment over 30 days.
Pair Corralation between OMXVGI and Swiss Mrt
|Time Period||2 Months [change]|
Diversification Opportunities for OMXVGI and Swiss Mrt
Overlapping area represents the amount of risk that can be diversified away by holding OMXVGI and Swiss Mrt in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Swiss Mrt and OMXVGI 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 OMXVGI are associated (or correlated) with Swiss Mrt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Mrt has no effect on the direction of OMXVGI i.e. OMXVGI and Swiss Mrt go up and down completely randomly.
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