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This module allows you to analyze existing cross correlation between All Ords and Taiwan Wtd. You can compare the effects of market volatilities on All Ords and Taiwan Wtd 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 All Ords with a short position of Taiwan Wtd. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and Taiwan Wtd.
|Horizon||30 Days Login to change|
Predicted Return Density
All Ords vs. Taiwan Wtd
Assuming 30 trading days horizon, All Ords is expected to under-perform the Taiwan Wtd. But the index apears to be less risky and, when comparing its historical volatility, All Ords is 1.12 times less risky than Taiwan Wtd. The index trades about -0.18 of its potential returns per unit of risk. The Taiwan Wtd is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 1,002,333 in Taiwan Wtd on November 16, 2018 and sell it today you would lose (24,917) from holding Taiwan Wtd or give up 2.49% of portfolio value over 30 days.
Pair Corralation between All Ords and Taiwan Wtd
|Time Period||2 Months [change]|
Diversification Opportunities for All Ords and Taiwan Wtd
Overlapping area represents the amount of risk that can be diversified away by holding All Ords and Taiwan Wtd in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Taiwan Wtd and All Ords 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 All Ords are associated (or correlated) with Taiwan Wtd. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Taiwan Wtd has no effect on the direction of All Ords i.e. All Ords and Taiwan Wtd go up and down completely randomly.