Correlation Analysis Between XU100 and OMXVGI

This module allows you to analyze existing cross correlation between XU100 and OMXVGI. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of OMXVGI. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and OMXVGI.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

XU100  vs.  OMXVGI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the OMXVGI. In addition to that, XU100 is 6.64 times more volatile than OMXVGI. It trades about -0.14 of its total potential returns per unit of risk. OMXVGI is currently generating about -0.11 per unit of volatility. If you would invest  67,624  in OMXVGI on May 17, 2019 and sell it today you would lose (791.00)  from holding OMXVGI or give up 1.17% of portfolio value over 30 days.

Pair Corralation between XU100 and OMXVGI

0.04
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy61.54%
ValuesDaily Returns

Diversification Opportunities for XU100 and OMXVGI

XU100 diversification synergy

Significant diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and OMXVGI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMXVGI 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 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 XU100 i.e. XU100 and OMXVGI go up and down completely randomly.
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See also your portfolio center. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..


 
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