Pair Correlation Between Jakarta Comp and NQEGT

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

Jakarta Comp  vs.  NQEGT

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Jakarta Comp is expected to under-perform the NQEGT. But the index apears to be less risky and, when comparing its historical volatility, Jakarta Comp is 1.17 times less risky than NQEGT. The index trades about -0.13 of its potential returns per unit of risk. The NQEGT is currently generating about 0.43 of returns per unit of risk over similar time horizon. If you would invest  115,969  in NQEGT on March 23, 2018 and sell it today you would earn a total of  20,951  from holding NQEGT or generate 18.07% return on investment over 30 days.

Pair Corralation between Jakarta Comp and NQEGT

0.91
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy87.04%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns 

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