Correlation Between BCAP SET100 and BCAP MSCI
Specify exactly 2 symbols:
By analyzing existing cross correlation between BCAP SET100 and BCAP MSCI Thailand, you can compare the effects of market volatilities on BCAP SET100 and BCAP MSCI 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 BCAP SET100 with a short position of BCAP MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of BCAP SET100 and BCAP MSCI.
Diversification Opportunities for BCAP SET100 and BCAP MSCI
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between BCAP and BCAP is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding BCAP SET100 and BCAP MSCI Thailand in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BCAP MSCI Thailand and BCAP SET100 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 BCAP SET100 are associated (or correlated) with BCAP MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BCAP MSCI Thailand has no effect on the direction of BCAP SET100 i.e., BCAP SET100 and BCAP MSCI go up and down completely randomly.
Pair Corralation between BCAP SET100 and BCAP MSCI
Assuming the 90 days trading horizon BCAP SET100 is expected to under-perform the BCAP MSCI. But the etf apears to be less risky and, when comparing its historical volatility, BCAP SET100 is 1.05 times less risky than BCAP MSCI. The etf trades about -0.1 of its potential returns per unit of risk. The BCAP MSCI Thailand is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 1,041 in BCAP MSCI Thailand on September 1, 2024 and sell it today you would lose (13.00) from holding BCAP MSCI Thailand or give up 1.25% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
BCAP SET100 vs. BCAP MSCI Thailand
Performance |
| Timeline |
| BCAP SET100 |
| BCAP MSCI Thailand |
BCAP SET100 and BCAP MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BCAP SET100 and BCAP MSCI
The main advantage of trading using opposite BCAP SET100 and BCAP MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BCAP SET100 position performs unexpectedly, BCAP MSCI 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 MSCI will offset losses from the drop in BCAP MSCI's long position.The idea behind BCAP SET100 and BCAP MSCI Thailand pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
Other Complementary Tools
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
| Portfolio Holdings Check your current holdings and cash postion to detemine if your portfolio needs rebalancing | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes |