Correlation Analysis Between All Ords and BSE

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

All Ords  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to generate 6.01 times less return on investment than BSE. But when comparing it to its historical volatility, All Ords is 1.16 times less risky than BSE. It trades about 0.04 of its potential returns per unit of risk. BSE is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  3,454,748  in BSE on May 19, 2018 and sell it today you would earn a total of  100,078  from holding BSE or generate 2.9% return on investment over 30 days.

Pair Corralation between All Ords and BSE

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding All Ords and BSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BSE and All Ords 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 All Ords are associated (or correlated) with BSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BSE has no effect on the direction of All Ords i.e. All Ords and BSE go up and down completely randomly.
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Comparative Volatility

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