Correlation Analysis Between BSE and Russia TR

This module allows you to analyze existing cross correlation between BSE and Russia TR. You can compare the effects of market volatilities on BSE and Russia TR 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 Russia TR. See also your portfolio center. Please also check ongoing floating volatility patterns of BSE and Russia TR.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

BSE  vs.  Russia TR

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 2.51 times less return on investment than Russia TR. In addition to that, BSE is 1.32 times more volatile than Russia TR. It trades about 0.03 of its total potential returns per unit of risk. Russia TR is currently generating about 0.09 per unit of volatility. If you would invest  133,702  in Russia TR on May 17, 2019 and sell it today you would earn a total of  3,412  from holding Russia TR or generate 2.55% return on investment over 30 days.

Pair Corralation between BSE and Russia TR

0.54
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy92.68%
ValuesDaily Returns

Diversification Opportunities for BSE and Russia TR

BSE diversification synergy

Very weak diversification

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