Correlation Analysis Between Jakarta Comp and IBEX 35

This module allows you to analyze existing cross correlation between Jakarta Comp and IBEX 35. You can compare the effects of market volatilities on Jakarta Comp and IBEX 35 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 IBEX 35. See also your portfolio center. Please also check ongoing floating volatility patterns of Jakarta Comp and IBEX 35.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

Jakarta Comp  vs.  IBEX 35

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Jakarta Comp is expected to under-perform the IBEX 35. But the index apears to be less risky and, when comparing its historical volatility, Jakarta Comp is 1.72 times less risky than IBEX 35. The index trades about -0.08 of its potential returns per unit of risk. The IBEX 35 is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  922,570  in IBEX 35 on September 16, 2019 and sell it today you would earn a total of  13,040  from holding IBEX 35 or generate 1.41% return on investment over 30 days.

Pair Corralation between Jakarta Comp and IBEX 35

-0.37
Time Period3 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.52%
ValuesDaily Returns

Diversification Opportunities for Jakarta Comp and IBEX 35

Jakarta Comp diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Jakarta Comp and IBEX 35 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on IBEX 35 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 IBEX 35. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IBEX 35 has no effect on the direction of Jakarta Comp i.e. Jakarta Comp and IBEX 35 go up and down completely randomly.
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