Pair Correlation Between ISEQ and BSE

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

Pair Volatility

Assuming 30 trading days horizon, ISEQ is expected to generate 1.69 times less return on investment than BSE. In addition to that, ISEQ is 1.42 times more volatile than BSE. It trades about 0.1 of its total potential returns per unit of risk. BSE is currently generating about 0.23 per unit of volatility. If you would invest  3,238,996  in BSE on October 23, 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 ISEQ and BSE
0.77

Parameters

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

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding ISEQ and BSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BSE and ISEQ 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 ISEQ 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 ISEQ i.e. ISEQ and BSE go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns