COMPARATIVE ANALYSIS OF MCXS INDICES

This paper studies various alternative techniques for comparative analysis of MCX Spot indices. Using the daily Index data from April 1, 2006 to March 31, 2012, authors examine the MCX spot indices namely MCXS COMDEX, MCXS METAL INDEX, MCXS ENERGY INDEX and MCXS AGRI INDEX. Correlation and 100 days rolling correlation technique has been employed to study the short term and long-term relationships between the MCX Spot index pairs. We have also used different performance measure ratio such as Sharp ratio, Treynor ratio, and Jensen’s measure for evaluating risk taking ability of index. From this comparison we have found that MCXSENERGY & MCXSMETAL index is more volatile index than MCXSAGRI index.