Correlation Analysis Between OMXVGI and Jakarta Comp

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

OMXVGI  vs.  Jakarta Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OMXVGI is expected to under-perform the Jakarta Comp. But the index apears to be less risky and, when comparing its historical volatility, OMXVGI is 2.9 times less risky than Jakarta Comp. The index trades about -0.37 of its potential returns per unit of risk. The Jakarta Comp is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest  589,219  in Jakarta Comp on August 19, 2018 and sell it today you would lose (8,040)  from holding Jakarta Comp or give up 1.36% of portfolio value over 30 days.

Pair Corralation between OMXVGI and Jakarta Comp

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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

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