Pair Correlation 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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 S&P 500  vs   BSE
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SP 500 is expected to generate 4.41 times less return on investment than BSE. But when comparing it to its historical volatility, S&P 500 is 1.77 times less risky than BSE. It trades about 0.09 of its potential returns per unit of risk. BSE is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest  3,238,996  in BSE on October 22, 2017 and sell it today you would earn a total of  96,994  from holding BSE or generate 2.99% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between SP 500 and BSE
0.55

Parameters

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

Diversification

Very weak 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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Comparative Volatility

 Predicted Return Density 
      Returns