Correlation Analysis Between NIKKEI 225 and BSE

This module allows you to analyze existing cross correlation between NIKKEI 225 and BSE. You can compare the effects of market volatilities on NIKKEI 225 and BSE 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 NIKKEI 225 with a short position of BSE. See also your portfolio center. Please also check ongoing floating volatility patterns of NIKKEI 225 and BSE.
Horizon     30 Days    Login   to change
Symbolsvs

NIKKEI 225  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NIKKEI 225 is expected to under-perform the BSE. But the index apears to be less risky and, when comparing its historical volatility, NIKKEI 225 is 1.1 times less risky than BSE. The index trades about -0.23 of its potential returns per unit of risk. The BSE is currently generating about -0.2 of returns per unit of risk over similar time horizon. If you would invest  3,630,502  in BSE on September 22, 2018 and sell it today you would lose (198,939)  from holding BSE or give up 5.48% of portfolio value over 30 days.

Pair Corralation between NIKKEI 225 and BSE

0.51
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding NIKKEI 225 and BSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BSE and NIKKEI 225 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 NIKKEI 225 are associated (or correlated) with BSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BSE has no effect on the direction of NIKKEI 225 i.e. NIKKEI 225 and BSE go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Cryptocurrency Correlation module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins and exchanges.


 
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