Pair Correlation 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.
Investment 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 generate 1.41 times more return on investment than BSE. However, NIKKEI 225 is 1.41 times more volatile than BSE. It trades about 0.23 of its potential returns per unit of risk. BSE is currently generating about 0.12 per unit of risk. If you would invest  2,136,305  in NIKKEI 225 on October 18, 2017 and sell it today you would earn a total of  98,807  from holding NIKKEI 225 or generate 4.63% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NIKKEI 225 and BSE
0.74

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Poor 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