Correlation Analysis Between XU100 and BSE

This module allows you to analyze existing cross correlation between XU100 and BSE. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of BSE. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and BSE.
Horizon     30 Days    Login   to change
Symbolsvs

XU100  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to generate 1.36 times more return on investment than BSE. However, XU100 is 1.36 times more volatile than BSE. It trades about -0.06 of its potential returns per unit of risk. BSE is currently generating about -0.25 per unit of risk. If you would invest  9,798,816  in XU100 on September 21, 2018 and sell it today you would lose (253,298)  from holding XU100 or give up 2.58% of portfolio value over 30 days.

Pair Corralation between XU100 and BSE

0.52
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and BSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BSE and XU100 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 XU100 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 XU100 i.e. XU100 and BSE go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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Alphabet
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ExchangeNASDAQ
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