Correlation Analysis Between OMX COPENHAGEN and Jakarta Comp

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

OMX COPENHAGEN  vs.  Jakarta Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMX COPENHAGEN is expected to under-perform the Jakarta Comp. In addition to that, OMX COPENHAGEN is 2.52 times more volatile than Jakarta Comp. It trades about -0.16 of its total potential returns per unit of risk. Jakarta Comp is currently generating about -0.11 per unit of volatility. If you would invest  595,774  in Jakarta Comp on September 21, 2018 and sell it today you would lose (12,045)  from holding Jakarta Comp or give up 2.02% of portfolio value over 30 days.

Pair Corralation between OMX COPENHAGEN and Jakarta Comp

0.8
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 OMX COPENHAGEN and Jakarta Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Jakarta Comp and OMX COPENHAGEN 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 OMX COPENHAGEN are associated (or correlated) with Jakarta Comp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jakarta Comp has no effect on the direction of OMX COPENHAGEN i.e. OMX COPENHAGEN and Jakarta Comp go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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