Correlation Analysis Between BSE and MerVal

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

Comparative Performance

 Predicted Return Density 
      Returns 

BSE  vs.  MerVal

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 118.19 times less return on investment than MerVal. But when comparing it to its historical volatility, BSE is 2.45 times less risky than MerVal. It trades about 0.01 of its potential returns per unit of risk. MerVal is currently generating about 0.3 of returns per unit of risk over similar time horizon. If you would invest  3,078,664  in MerVal on May 18, 2019 and sell it today you would earn a total of  970,097  from holding MerVal or generate 31.51% return on investment over 30 days.

Pair Corralation between BSE and MerVal

0.33
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy97.44%
ValuesDaily Returns

Diversification Opportunities for BSE and MerVal

BSE diversification synergy

Weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding BSE and MerVal in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on MerVal and BSE 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 BSE are associated (or correlated) with MerVal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MerVal has no effect on the direction of BSE i.e. BSE and MerVal go up and down completely randomly.
    Optimize
See also your portfolio center. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.


 
Search macroaxis.com