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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 BSE  vs   Jakarta Comp
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 1.35 times more return on investment than Jakarta Comp. However, BSE is 1.35 times more volatile than Jakarta Comp. It trades about 0.23 of its potential returns per unit of risk. Jakarta Comp is currently generating about 0.17 per unit of risk. If you would invest  3,238,996  in BSE on October 21, 2017 and sell it today you would earn a total of  95,284  from holding BSE or generate 2.94% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between BSE and Jakarta Comp
0.82

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very 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