Correlation Analysis 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.
Horizon     30 Days    Login   to change
Symbolsvs

BSE  vs.  Jakarta Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to under-perform the Jakarta Comp. In addition to that, BSE is 1.6 times more volatile than Jakarta Comp. It trades about -0.24 of its total potential returns per unit of risk. Jakarta Comp is currently generating about -0.09 per unit of volatility. If you would invest  593,126  in Jakarta Comp on September 20, 2018 and sell it today you would lose (9,397)  from holding Jakarta Comp or give up 1.58% of portfolio value over 30 days.

Pair Corralation between BSE and Jakarta Comp

0.78
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily 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.
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Comparative Volatility

 Predicted Return Density 
      Returns 

My Equities

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1115.69

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.


 
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