Correlation Analysis Between Russia TR and BSE

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

Russia TR  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to under-perform the BSE. But the index apears to be less risky and, when comparing its historical volatility, Russia TR is 1.94 times less risky than BSE. The index trades about -0.71 of its potential returns per unit of risk. The BSE is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest  3,465,124  in BSE on May 22, 2018 and sell it today you would earn a total of  78,115  from holding BSE or generate 2.25% return on investment over 30 days.

Pair Corralation between Russia TR and BSE

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy6.45%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding Russia TR and BSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BSE and Russia TR 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 Russia TR 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 Russia TR i.e. Russia TR and BSE go up and down completely randomly.
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Comparative Volatility

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