Pair Correlation Between Jakarta Comp and DOW

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

Pair Volatility

Assuming 30 trading days horizon, Jakarta Comp is expected to generate 381.26 times more return on investment than DOW. However, Jakarta Comp is 381.26 times more volatile than DOW. It trades about 0.19 of its potential returns per unit of risk. DOW is currently generating about 0.42 per unit of risk. If you would invest  602,146  in Jakarta Comp on November 13, 2017 and sell it today you would earn a total of  1,091  from holding Jakarta Comp or generate 0.18% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Jakarta Comp and DOW
-0.22

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns