Correlation Between IDX 30 and NYSE Composite
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By analyzing existing cross correlation between IDX 30 Jakarta and NYSE Composite, you can compare the effects of market volatilities on IDX 30 and NYSE Composite 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 IDX 30 with a short position of NYSE Composite. Check out your portfolio center. Please also check ongoing floating volatility patterns of IDX 30 and NYSE Composite.
Diversification Opportunities for IDX 30 and NYSE Composite
0.3 | Correlation Coefficient |
Weak diversification
The 3 months correlation between IDX and NYSE is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding IDX 30 Jakarta and NYSE Composite in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NYSE Composite and IDX 30 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 IDX 30 Jakarta are associated (or correlated) with NYSE Composite. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE Composite has no effect on the direction of IDX 30 i.e., IDX 30 and NYSE Composite go up and down completely randomly.
Pair Corralation between IDX 30 and NYSE Composite
Assuming the 90 days trading horizon IDX 30 Jakarta is expected to under-perform the NYSE Composite. In addition to that, IDX 30 is 1.59 times more volatile than NYSE Composite. It trades about -0.42 of its total potential returns per unit of risk. NYSE Composite is currently generating about -0.11 per unit of volatility. If you would invest 1,805,919 in NYSE Composite on January 26, 2024 and sell it today you would lose (30,111) from holding NYSE Composite or give up 1.67% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 71.43% |
Values | Daily Returns |
IDX 30 Jakarta vs. NYSE Composite
Performance |
Timeline |
IDX 30 and NYSE Composite Volatility Contrast
Predicted Return Density |
Returns |
IDX 30 Jakarta
Pair trading matchups for IDX 30
NYSE Composite
Pair trading matchups for NYSE Composite
Pair Trading with IDX 30 and NYSE Composite
The main advantage of trading using opposite IDX 30 and NYSE Composite positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IDX 30 position performs unexpectedly, NYSE Composite can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in NYSE Composite will offset losses from the drop in NYSE Composite's long position.IDX 30 vs. Wintermar Offshore Marine | IDX 30 vs. Diamond Food Indonesia | IDX 30 vs. Electronic City Indonesia | IDX 30 vs. Cisarua Mountain Dairy |
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Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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