Correlation Between IDX 30 and Budapest
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By analyzing existing cross correlation between IDX 30 Jakarta and Budapest SE, you can compare the effects of market volatilities on IDX 30 and Budapest 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 Budapest. Check out your portfolio center. Please also check ongoing floating volatility patterns of IDX 30 and Budapest.
Diversification Opportunities for IDX 30 and Budapest
Very good diversification
The 3 months correlation between IDX and Budapest is -0.32. Overlapping area represents the amount of risk that can be diversified away by holding IDX 30 Jakarta and Budapest SE in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Budapest SE 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 Budapest. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Budapest SE has no effect on the direction of IDX 30 i.e., IDX 30 and Budapest go up and down completely randomly.
Pair Corralation between IDX 30 and Budapest
Assuming the 90 days trading horizon IDX 30 Jakarta is expected to under-perform the Budapest. In addition to that, IDX 30 is 1.16 times more volatile than Budapest SE. It trades about -0.03 of its total potential returns per unit of risk. Budapest SE is currently generating about 0.18 per unit of volatility. If you would invest 5,740,067 in Budapest SE on February 4, 2024 and sell it today you would earn a total of 1,060,157 from holding Budapest SE or generate 18.47% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 93.55% |
Values | Daily Returns |
IDX 30 Jakarta vs. Budapest SE
Performance |
Timeline |
IDX 30 and Budapest Volatility Contrast
Predicted Return Density |
Returns |
IDX 30 Jakarta
Pair trading matchups for IDX 30
Budapest SE
Pair trading matchups for Budapest
Pair Trading with IDX 30 and Budapest
The main advantage of trading using opposite IDX 30 and Budapest positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IDX 30 position performs unexpectedly, Budapest 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 Budapest will offset losses from the drop in Budapest's long position.IDX 30 vs. Lion Metal Works | IDX 30 vs. Optima Prima Metal | IDX 30 vs. Capital Financial Indonesia | IDX 30 vs. PT Bank Bisnis |
Budapest vs. Infineon Technologies AG | Budapest vs. Delta Technologies Nyrt | Budapest vs. OTP Bank Nyrt | Budapest vs. Nutex Investments 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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