Correlation Analysis Between ATX and Jakarta Comp

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

ATX  vs.  Jakarta Comp

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the Jakarta Comp. But the index apears to be less risky and, when comparing its historical volatility, ATX is 1.12 times less risky than Jakarta Comp. The index trades about -0.29 of its potential returns per unit of risk. The Jakarta Comp is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  579,200  in Jakarta Comp on May 23, 2018 and sell it today you would earn a total of  2,981  from holding Jakarta Comp or generate 0.51% return on investment over 30 days.

Pair Corralation between ATX and Jakarta Comp

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 ATX and Jakarta Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Jakarta Comp and ATX 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 ATX are associated (or correlated) with Jakarta Comp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jakarta Comp has no effect on the direction of ATX i.e. ATX and Jakarta Comp go up and down completely randomly.
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Comparative Volatility

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