Correlation Analysis Between ISEQ and BSE

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

 Predicted Return Density 
      Returns 

ISEQ  vs.  BSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, ISEQ is expected to under-perform the BSE. But the index apears to be less risky and, when comparing its historical volatility, ISEQ is 1.07 times less risky than BSE. The index trades about -0.18 of its potential returns per unit of risk. The BSE is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  3,914,028  in BSE on May 18, 2019 and sell it today you would earn a total of  2,246  from holding BSE or generate 0.06% return on investment over 30 days.

Pair Corralation between ISEQ and BSE

-0.23
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy97.44%
ValuesDaily Returns

Diversification Opportunities for ISEQ and BSE

ISEQ diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding ISEQ and BSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on BSE and ISEQ 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 ISEQ 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 ISEQ i.e. ISEQ and BSE go up and down completely randomly.
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See also your portfolio center. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.


 
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