Correlation Between WIG 30 and WSE WIG
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By analyzing existing cross correlation between WIG 30 and WSE WIG INDEX, you can compare the effects of market volatilities on WIG 30 and WSE WIG 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 WIG 30 with a short position of WSE WIG. Check out your portfolio center. Please also check ongoing floating volatility patterns of WIG 30 and WSE WIG.
Diversification Opportunities for WIG 30 and WSE WIG
Almost no diversification
The 3 months correlation between WIG and WSE is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding WIG 30 and WSE WIG INDEX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on WSE WIG INDEX and WIG 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 WIG 30 are associated (or correlated) with WSE WIG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of WSE WIG INDEX has no effect on the direction of WIG 30 i.e., WIG 30 and WSE WIG go up and down completely randomly.
Pair Corralation between WIG 30 and WSE WIG
Assuming the 90 days trading horizon WIG 30 is expected to under-perform the WSE WIG. In addition to that, WIG 30 is 1.12 times more volatile than WSE WIG INDEX. It trades about -0.06 of its total potential returns per unit of risk. WSE WIG INDEX is currently generating about -0.06 per unit of volatility. If you would invest 8,683,267 in WSE WIG INDEX on September 1, 2024 and sell it today you would lose (746,285) from holding WSE WIG INDEX or give up 8.59% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
WIG 30 vs. WSE WIG INDEX
Performance |
| Timeline |
WIG 30 and WSE WIG Volatility Contrast
Predicted Return Density |
| Returns |
WIG 30
Pair trading matchups for WIG 30
WSE WIG INDEX
Pair trading matchups for WSE WIG
Pair Trading with WIG 30 and WSE WIG
The main advantage of trading using opposite WIG 30 and WSE WIG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if WIG 30 position performs unexpectedly, WSE WIG 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 WSE WIG will offset losses from the drop in WSE WIG's long position.| WIG 30 vs. ING Bank lski | WIG 30 vs. LSI Software SA | WIG 30 vs. Quantum Software SA | WIG 30 vs. GreenX Metals |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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