Correlation Between OMX Stockholm and Modern Times
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By analyzing existing cross correlation between OMX Stockholm Mid and Modern Times Group, you can compare the effects of market volatilities on OMX Stockholm and Modern Times 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 Modern Times. Check out your portfolio center. Please also check ongoing floating volatility patterns of OMX Stockholm and Modern Times.
Diversification Opportunities for OMX Stockholm and Modern Times
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between OMX and Modern is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding OMX Stockholm Mid and Modern Times Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Modern Times Group 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 Modern Times. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Modern Times Group has no effect on the direction of OMX Stockholm i.e., OMX Stockholm and Modern Times go up and down completely randomly.
Pair Corralation between OMX Stockholm and Modern Times
Assuming the 90 days trading horizon OMX Stockholm is expected to generate 1.16 times less return on investment than Modern Times. But when comparing it to its historical volatility, OMX Stockholm Mid is 2.77 times less risky than Modern Times. It trades about 0.05 of its potential returns per unit of risk. Modern Times Group is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 8,350 in Modern Times Group on August 28, 2024 and sell it today you would earn a total of 750.00 from holding Modern Times Group or generate 8.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 99.58% |
| Values | Daily Returns |
OMX Stockholm Mid vs. Modern Times Group
Performance |
| Timeline |
OMX Stockholm and Modern Times Volatility Contrast
Predicted Return Density |
| Returns |
OMX Stockholm Mid
Pair trading matchups for OMX Stockholm
Modern Times Group
Pair trading matchups for Modern Times
Pair Trading with OMX Stockholm and Modern Times
The main advantage of trading using opposite OMX Stockholm and Modern Times positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if OMX Stockholm position performs unexpectedly, Modern Times 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 Modern Times will offset losses from the drop in Modern Times' long position.| OMX Stockholm vs. Skandinaviska Enskilda Banken | OMX Stockholm vs. Indutrade AB | OMX Stockholm vs. Arion banki hf | OMX Stockholm vs. Fractal Gaming Group |
| Modern Times vs. Modern Times Group | Modern Times vs. Kinnevik Investment AB | Modern Times vs. Tele2 AB | Modern Times vs. Holmen 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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