Correlation Between Dow Jones and BCAP SET100
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By analyzing existing cross correlation between Dow Jones Industrial and BCAP SET100, you can compare the effects of market volatilities on Dow Jones and BCAP SET100 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 Dow Jones with a short position of BCAP SET100. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dow Jones and BCAP SET100.
Diversification Opportunities for Dow Jones and BCAP SET100
0.35 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Dow and BCAP is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding Dow Jones Industrial and BCAP SET100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BCAP SET100 and Dow Jones 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 Dow Jones Industrial are associated (or correlated) with BCAP SET100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BCAP SET100 has no effect on the direction of Dow Jones i.e., Dow Jones and BCAP SET100 go up and down completely randomly.
Pair Corralation between Dow Jones and BCAP SET100
Assuming the 90 days trading horizon Dow Jones Industrial is expected to generate 0.79 times more return on investment than BCAP SET100. However, Dow Jones Industrial is 1.26 times less risky than BCAP SET100. It trades about -0.01 of its potential returns per unit of risk. BCAP SET100 is currently generating about -0.24 per unit of risk. If you would invest 4,257,373 in Dow Jones Industrial on December 28, 2024 and sell it today you would lose (27,403) from holding Dow Jones Industrial or give up 0.64% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 98.36% |
Values | Daily Returns |
Dow Jones Industrial vs. BCAP SET100
Performance |
Timeline |
Dow Jones and BCAP SET100 Volatility Contrast
Predicted Return Density |
Returns |
Dow Jones Industrial
Pair trading matchups for Dow Jones
BCAP SET100
Pair trading matchups for BCAP SET100
Pair Trading with Dow Jones and BCAP SET100
The main advantage of trading using opposite Dow Jones and BCAP SET100 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dow Jones position performs unexpectedly, BCAP SET100 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 BCAP SET100 will offset losses from the drop in BCAP SET100's long position.Dow Jones vs. PennantPark Investment | Dow Jones vs. Western Asset Investment | Dow Jones vs. Yoshitsu Co Ltd | Dow Jones vs. Black Hills |
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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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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