Correlation Analysis Between SPTSX Comp and Jakarta Comp

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

 Predicted Return Density 
      Returns 

SPTSX Comp  vs.  Jakarta Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the Jakarta Comp. In addition to that, SPTSX Comp is 1.04 times more volatile than Jakarta Comp. It trades about -0.2 of its total potential returns per unit of risk. Jakarta Comp is currently generating about 0.12 per unit of volatility. If you would invest  583,729  in Jakarta Comp on November 18, 2018 and sell it today you would earn a total of  22,353  from holding Jakarta Comp or generate 3.83% return on investment over 30 days.

Pair Corralation between SPTSX Comp and Jakarta Comp

-0.44
Time Period2 Months [change]
DirectionNegative 
StrengthVery Weak
Accuracy92.86%
ValuesDaily Returns

Diversification Opportunities for SPTSX Comp and Jakarta Comp

SPTSX Comp diversification synergy

Very good diversification

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