Correlation Analysis Between BSE and Swiss Mrt

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

 Predicted Return Density 
      Returns 

BSE  vs.  Swiss Mrt

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 12.82 times less return on investment than Swiss Mrt. In addition to that, BSE is 1.37 times more volatile than Swiss Mrt. It trades about 0.01 of its total potential returns per unit of risk. Swiss Mrt is currently generating about 0.11 per unit of volatility. If you would invest  957,122  in Swiss Mrt on May 18, 2019 and sell it today you would earn a total of  27,639  from holding Swiss Mrt or generate 2.89% return on investment over 30 days.

Pair Corralation between BSE and Swiss Mrt

0.59
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy97.37%
ValuesDaily Returns

Diversification Opportunities for BSE and Swiss Mrt

BSE diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding BSE and Swiss Mrt in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Swiss Mrt 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 Swiss Mrt. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Mrt has no effect on the direction of BSE i.e. BSE and Swiss Mrt go up and down completely randomly.
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See also your portfolio center. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.


 
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