Correlation Analysis Between BSE and NYSE

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

 Predicted Return Density 
      Returns 

BSE  vs.  NYSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 1.42 times more return on investment than NYSE. However, BSE is 1.42 times more volatile than NYSE. It trades about 0.03 of its potential returns per unit of risk. NYSE is currently generating about -0.03 per unit of risk. If you would invest  3,914,028  in BSE on May 17, 2019 and sell it today you would earn a total of  31,179  from holding BSE or generate 0.8% return on investment over 30 days.

Pair Corralation between BSE and NYSE

-0.06
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy90.48%
ValuesDaily Returns

Diversification Opportunities for BSE and NYSE

BSE diversification synergy

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding BSE and NYSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NYSE 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 NYSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE has no effect on the direction of BSE i.e. BSE and NYSE go up and down completely randomly.
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See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.


 
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