Correlation Analysis Between Jakarta Comp and OMX COPENHAGEN

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

Jakarta Comp  vs.  OMX COPENHAGEN

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Jakarta Comp is expected to generate 1.6 times less return on investment than OMX COPENHAGEN. In addition to that, Jakarta Comp is 1.63 times more volatile than OMX COPENHAGEN. It trades about 0.06 of its total potential returns per unit of risk. OMX COPENHAGEN is currently generating about 0.14 per unit of volatility. If you would invest  138,480  in OMX COPENHAGEN on June 23, 2018 and sell it today you would earn a total of  3,752  from holding OMX COPENHAGEN or generate 2.71% return on investment over 30 days.

Pair Corralation between Jakarta Comp and OMX COPENHAGEN

0.82
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns 

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