Correlation Analysis Between Shanghai and Jakarta Comp

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

 Predicted Return Density 
      Returns 

Shanghai  vs.  Jakarta Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Shanghai is expected to generate 2.0 times more return on investment than Jakarta Comp. However, Shanghai is 2.0 times more volatile than Jakarta Comp. It trades about 0.4 of its potential returns per unit of risk. Jakarta Comp is currently generating about 0.32 per unit of risk. If you would invest  250,482  in Shanghai on January 21, 2019 and sell it today you would earn a total of  25,640  from holding Shanghai or generate 10.24% return on investment over 30 days.

Pair Corralation between Shanghai and Jakarta Comp

-0.43
Time Period2 Months [change]
DirectionNegative 
StrengthVery Weak
Accuracy70.59%
ValuesDaily Returns

Diversification Opportunities for Shanghai and Jakarta Comp

Shanghai diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Shanghai and Jakarta Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Jakarta Comp and Shanghai 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 Shanghai 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 Shanghai i.e. Shanghai and Jakarta Comp go up and down completely randomly.
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