This module allows you to analyze existing cross correlation between BSE and NIKKEI 225. You can compare the effects of market volatilities on BSE and NIKKEI 225 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 NIKKEI 225. See also your portfolio center
. Please also check ongoing floating volatility patterns of BSE
and NIKKEI 225
BSE vs. NIKKEI 225
Assuming 30 trading days horizon, BSE is expected to generate 1.12 times less return on investment than NIKKEI 225. But when comparing it to its historical volatility, BSE is 1.32 times less risky than NIKKEI 225. It trades about 0.02 of its potential returns per unit of risk. NIKKEI 225 is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 2,189,278 in NIKKEI 225 on March 25, 2018 and sell it today you would earn a total of 19,526 from holding NIKKEI 225 or generate 0.89% return on investment over 30 days.
Pair Corralation between BSE and NIKKEI 225
|Time Period||2 Months [change]|
Overlapping area represents the amount of risk that can be diversified away by holding BSE and NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 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 NIKKEI 225. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIKKEI 225 has no effect on the direction of BSE i.e. BSE and NIKKEI 225 go up and down completely randomly.
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