Pair Correlation Between Straits Tms and ISEQ

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

Pair Volatility

Given the investment horizon of 30 days, Straits Tms is expected to generate 0.74 times more return on investment than ISEQ. However, Straits Tms is 1.36 times less risky than ISEQ. It trades about 0.23 of its potential returns per unit of risk. ISEQ is currently generating about 0.08 per unit of risk. If you would invest  333,467  in Straits Tms on October 24, 2017 and sell it today you would earn a total of  8,871  from holding Straits Tms or generate 2.66% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Straits Tms and ISEQ
-0.38

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy82.61%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Straits Tms and ISEQ in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ISEQ 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 ISEQ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ISEQ has no effect on the direction of Straits Tms i.e. Straits Tms and ISEQ go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns