Pair Correlation Between BSE and Straits Tms

This module allows you to analyze existing cross correlation between BSE and Straits Tms. You can compare the effects of market volatilities on BSE and Straits Tms 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 Straits Tms. See also your portfolio center. Please also check ongoing floating volatility patterns of BSE and Straits Tms.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 BSE  vs   Straits Tms
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 1.33 times more return on investment than Straits Tms. However, BSE is 1.33 times more volatile than Straits Tms. It trades about 0.12 of its potential returns per unit of risk. Straits Tms is currently generating about 0.12 per unit of risk. If you would invest  3,258,435  in BSE on October 18, 2017 and sell it today you would earn a total of  52,247  from holding BSE or generate 1.6% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between BSE and Straits Tms
0.53

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy86.36%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns