Correlation Between OMX Stockholm and Momentum Group
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By analyzing existing cross correlation between OMX Stockholm Mid and Momentum Group AB, you can compare the effects of market volatilities on OMX Stockholm and Momentum Group 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 Stockholm with a short position of Momentum Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of OMX Stockholm and Momentum Group.
Diversification Opportunities for OMX Stockholm and Momentum Group
0.26 | Correlation Coefficient |
Modest diversification
The 3 months correlation between OMX and Momentum is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding OMX Stockholm Mid and Momentum Group AB in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Momentum Group AB and OMX Stockholm 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 Stockholm Mid are associated (or correlated) with Momentum Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Momentum Group AB has no effect on the direction of OMX Stockholm i.e., OMX Stockholm and Momentum Group go up and down completely randomly.
Pair Corralation between OMX Stockholm and Momentum Group
Assuming the 90 days trading horizon OMX Stockholm is expected to generate 2.78 times less return on investment than Momentum Group. But when comparing it to its historical volatility, OMX Stockholm Mid is 3.32 times less risky than Momentum Group. It trades about 0.07 of its potential returns per unit of risk. Momentum Group AB is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 11,358 in Momentum Group AB on August 31, 2024 and sell it today you would earn a total of 6,342 from holding Momentum Group AB or generate 55.84% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.74% |
| Values | Daily Returns |
OMX Stockholm Mid vs. Momentum Group AB
Performance |
| Timeline |
OMX Stockholm and Momentum Group Volatility Contrast
Predicted Return Density |
| Returns |
OMX Stockholm Mid
Pair trading matchups for OMX Stockholm
Momentum Group AB
Pair trading matchups for Momentum Group
Pair Trading with OMX Stockholm and Momentum Group
The main advantage of trading using opposite OMX Stockholm and Momentum Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if OMX Stockholm position performs unexpectedly, Momentum Group can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Momentum Group will offset losses from the drop in Momentum Group's long position.| OMX Stockholm vs. SaveLend Group AB | OMX Stockholm vs. Skandinaviska Enskilda Banken | OMX Stockholm vs. Havsfrun Investment AB | OMX Stockholm vs. New Nordic Healthbrands |
| Momentum Group vs. Bergman Beving AB | Momentum Group vs. Lagercrantz Group AB | Momentum Group vs. AddLife AB | Momentum Group vs. Addtech AB |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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