Correlation Analysis Between BSE and Seoul Comp

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

BSE  vs.  Seoul Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to under-perform the Seoul Comp. But the index apears to be less risky and, when comparing its historical volatility, BSE is 1.02 times less risky than Seoul Comp. The index trades about -0.26 of its potential returns per unit of risk. The Seoul Comp is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest  224,807  in Seoul Comp on August 20, 2018 and sell it today you would earn a total of  5,524  from holding Seoul Comp or generate 2.46% return on investment over 30 days.

Pair Corralation between BSE and Seoul Comp

0.01
Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Significant diversification

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

 Predicted Return Density 
      Returns 

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