Correlation Analysis Between ISEQ and Seoul Comp

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

Comparative Performance

 Predicted Return Density 

ISEQ  vs.  Seoul Comp

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, ISEQ is expected to under-perform the Seoul Comp. In addition to that, ISEQ is 1.08 times more volatile than Seoul Comp. It trades about -0.2 of its total potential returns per unit of risk. Seoul Comp is currently generating about -0.09 per unit of volatility. If you would invest  216,171  in Seoul Comp on November 19, 2018 and sell it today you would lose (8,287)  from holding Seoul Comp or give up 3.83% of portfolio value over 30 days.

Pair Corralation between ISEQ and Seoul Comp

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for ISEQ and Seoul Comp

ISEQ diversification synergy

Average diversification

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

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