Correlation Analysis Between BSE and SP 500

This module allows you to analyze existing cross correlation between BSE and S&P 500. You can compare the effects of market volatilities on BSE and SP 500 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 BSE with a short position of SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of BSE and SP 500.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

BSE  vs.  S&P 500

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 0.7 times more return on investment than SP 500. However, BSE is 1.42 times less risky than SP 500. It trades about 0.17 of its potential returns per unit of risk. S&P 500 is currently generating about -0.14 per unit of risk. If you would invest  3,440,982  in BSE on November 18, 2018 and sell it today you would earn a total of  193,726  from holding BSE or generate 5.63% return on investment over 30 days.

Pair Corralation between BSE and SP 500

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for BSE and SP 500

BSE diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding BSE and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 and BSE 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 BSE are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of BSE i.e. BSE and SP 500 go up and down completely randomly.

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See also your portfolio center. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.