Correlation Analysis Between SP 500 and BSE

This module allows you to analyze existing cross correlation between S&P 500 and BSE. You can compare the effects of market volatilities on SP 500 and BSE 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 SP 500 with a short position of BSE. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and BSE.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

S&P 500  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the BSE. In addition to that, SP 500 is 1.22 times more volatile than BSE. It trades about -0.13 of its total potential returns per unit of risk. BSE is currently generating about 0.04 per unit of volatility. If you would invest  3,543,794  in BSE on November 16, 2018 and sell it today you would earn a total of  52,499  from holding BSE or generate 1.48% return on investment over 30 days.

Pair Corralation between SP 500 and BSE

-0.22
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy83.33%
ValuesDaily Returns

Diversification Opportunities for SP 500 and BSE

S&P 500 diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and BSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BSE and SP 500 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 S&P 500 are associated (or correlated) with BSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BSE has no effect on the direction of SP 500 i.e. SP 500 and BSE go up and down completely randomly.
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