Pair Correlation Between BSE and Jakarta Comp |
This module allows you to analyze existing cross correlation between BSE and Jakarta Comp. You can compare the effects of market volatilities on BSE 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 BSE with a short position of Jakarta Comp. See also your portfolio center. Please also check ongoing floating volatility patterns of BSE and Jakarta Comp.
Time Horizon | 30 Days Login to change |
Symbols | vs |
BSE vs. Jakarta Comp
Pair Volatility
Assuming 30 trading days horizon, BSE is expected to generate 1.12 times more return on investment than Jakarta Comp. However, BSE is 1.12 times more volatile than Jakarta Comp. It trades about 0.03 of its potential returns per unit of risk. Jakarta Comp is currently generating about -0.15 per unit of risk. If you would invest 3,414,215 in BSE on March 26, 2018 and sell it today you would earn a total of 47,449 from holding BSE or generate 1.39% return on investment over 30 days.
Pair Corralation between BSE and Jakarta Comp
0.71
Time Period | 2 Months [change] |
Direction | Positive |
Strength | Significant |
Accuracy | 98.18% |
Values | Daily Returns |
Diversification
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding BSE and Jakarta Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Jakarta Comp 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 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 BSE i.e. BSE and Jakarta Comp go up and down completely randomly.
Comparative Volatility
Jakarta Comp
Pair trading matchups for Jakarta Comp
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