This module allows you to analyze existing cross correlation between OMXVGI and Straits Tms. You can compare the effects of market volatilities on OMXVGI and Straits Tms 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 Straits Tms. See also your portfolio center. Please also check ongoing floating volatility patterns of OMXVGI and Straits Tms.
|Horizon||30 Days Login to change|
OMXVGI vs. Straits Tms
Assuming 30 trading days horizon, OMXVGI is expected to generate 0.39 times more return on investment than Straits Tms. However, OMXVGI is 2.57 times less risky than Straits Tms. It trades about -0.1 of its potential returns per unit of risk. Straits Tms is currently generating about -0.16 per unit of risk. If you would invest 67,548 in OMXVGI on May 19, 2019 and sell it today you would lose (715.00) from holding OMXVGI or give up 1.06% of portfolio value over 30 days.
Pair Corralation between OMXVGI and Straits Tms
|Time Period||2 Months [change]|
Diversification Opportunities for OMXVGI and Straits Tms
Overlapping area represents the amount of risk that can be diversified away by holding OMXVGI and Straits Tms in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Straits Tms 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 Straits Tms. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Straits Tms has no effect on the direction of OMXVGI i.e. OMXVGI and Straits Tms go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.