Correlation Between IDX 30 and ISEQ 20
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By analyzing existing cross correlation between IDX 30 Jakarta and ISEQ 20 Price, you can compare the effects of market volatilities on IDX 30 and ISEQ 20 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 ISEQ 20. Check out your portfolio center. Please also check ongoing floating volatility patterns of IDX 30 and ISEQ 20.
Diversification Opportunities for IDX 30 and ISEQ 20
Good diversification
The 3 months correlation between IDX and ISEQ is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding IDX 30 Jakarta and ISEQ 20 Price in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ISEQ 20 Price 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 ISEQ 20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ISEQ 20 Price has no effect on the direction of IDX 30 i.e., IDX 30 and ISEQ 20 go up and down completely randomly.
Pair Corralation between IDX 30 and ISEQ 20
Assuming the 90 days trading horizon IDX 30 Jakarta is expected to under-perform the ISEQ 20. But the index apears to be less risky and, when comparing its historical volatility, IDX 30 Jakarta is 1.02 times less risky than ISEQ 20. The index trades about -0.06 of its potential returns per unit of risk. The ISEQ 20 Price is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 140,680 in ISEQ 20 Price on January 30, 2024 and sell it today you would earn a total of 24,767 from holding ISEQ 20 Price or generate 17.61% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 93.84% |
Values | Daily Returns |
IDX 30 Jakarta vs. ISEQ 20 Price
Performance |
Timeline |
IDX 30 and ISEQ 20 Volatility Contrast
Predicted Return Density |
Returns |
IDX 30 Jakarta
Pair trading matchups for IDX 30
ISEQ 20 Price
Pair trading matchups for ISEQ 20
Pair Trading with IDX 30 and ISEQ 20
The main advantage of trading using opposite IDX 30 and ISEQ 20 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IDX 30 position performs unexpectedly, ISEQ 20 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 ISEQ 20 will offset losses from the drop in ISEQ 20's long position.IDX 30 vs. Multipolar Technology Tbk | IDX 30 vs. Jakarta Int Hotels | IDX 30 vs. Ashmore Asset Management | IDX 30 vs. FKS Food Sejahtera |
ISEQ 20 vs. Bank of Ireland | ISEQ 20 vs. Great Western Mining | ISEQ 20 vs. Donegal Investment Group | ISEQ 20 vs. Cairn Homes PLC |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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