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.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

All Ords  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to under-perform the BSE. But the index apears to be less risky and, when comparing its historical volatility, All Ords is 1.12 times less risky than BSE. The index trades about -0.12 of its potential returns per unit of risk. The BSE is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  3,473,751  in BSE on November 14, 2018 and sell it today you would earn a total of  122,542  from holding BSE or generate 3.53% return on investment over 30 days.

Pair Corralation between All Ords and BSE

-0.12
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for All Ords and BSE

All Ords diversification synergy

Good diversification

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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