Pair Correlation Between Straits Tms and BSE

This module allows you to analyze existing cross correlation between Straits Tms and BSE. You can compare the effects of market volatilities on Straits Tms 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 Straits Tms with a short position of BSE. See also your portfolio center. Please also check ongoing floating volatility patterns of Straits Tms and BSE.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Straits Tms  vs   BSE
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Straits Tms is expected to generate 13.08 times less return on investment than BSE. But when comparing it to its historical volatility, Straits Tms is 1.27 times less risky than BSE. It trades about 0.02 of its potential returns per unit of risk. BSE is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest  3,238,996  in BSE on October 19, 2017 and sell it today you would earn a total of  95,284  from holding BSE or generate 2.94% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Straits Tms and BSE
0.44

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.24%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns