This module allows you to analyze existing cross correlation between Jakarta Comp and NIKKEI 225. You can compare the effects of market volatilities on Jakarta Comp and NIKKEI 225 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 NIKKEI 225. See also your portfolio center
. Please also check ongoing floating volatility patterns of Jakarta Comp
and NIKKEI 225
Jakarta Comp vs. NIKKEI 225
Assuming 30 trading days horizon, Jakarta Comp is expected to under-perform the NIKKEI 225. In addition to that, Jakarta Comp is 1.25 times more volatile than NIKKEI 225. It trades about -0.01 of its total potential returns per unit of risk. NIKKEI 225 is currently generating about 0.02 per unit of volatility. If you would invest 2,268,033 in NIKKEI 225 on June 18, 2018 and sell it today you would earn a total of 11,386 from holding NIKKEI 225 or generate 0.5% return on investment over 30 days.
Pair Corralation between Jakarta Comp and NIKKEI 225
|Time Period||1 Month [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Jakarta Comp and NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 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 NIKKEI 225. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIKKEI 225 has no effect on the direction of Jakarta Comp i.e. Jakarta Comp and NIKKEI 225 go up and down completely randomly.
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