Correlation Analysis Between NYSE and Jakarta Comp

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

NYSE  vs.  Jakarta Comp

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to under-perform the Jakarta Comp. In addition to that, NYSE is 1.17 times more volatile than Jakarta Comp. It trades about -0.23 of its total potential returns per unit of risk. Jakarta Comp is currently generating about -0.09 per unit of volatility. If you would invest  593,126  in Jakarta Comp on September 20, 2018 and sell it today you would lose (9,397)  from holding Jakarta Comp or give up 1.58% of portfolio value over 30 days.

Pair Corralation between NYSE and Jakarta Comp

Time Period1 Month [change]
ValuesDaily Returns


Poor diversification

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

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.