Correlation Analysis Between ATX and Taiwan Wtd

This module allows you to analyze existing cross correlation between ATX and Taiwan Wtd. You can compare the effects of market volatilities on ATX 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 ATX with a short position of Taiwan Wtd. See also your portfolio center. Please also check ongoing floating volatility patterns of ATX and Taiwan Wtd.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

ATX  vs.  Taiwan Wtd

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the Taiwan Wtd. In addition to that, ATX is 1.69 times more volatile than Taiwan Wtd. It trades about -0.13 of its total potential returns per unit of risk. Taiwan Wtd is currently generating about -0.03 per unit of volatility. If you would invest  990,112  in Taiwan Wtd on November 14, 2018 and sell it today you would lose (12,696)  from holding Taiwan Wtd or give up 1.28% of portfolio value over 30 days.

Pair Corralation between ATX and Taiwan Wtd

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for ATX and Taiwan Wtd

ATX diversification synergy

Average diversification

Overlapping area represents the amount of risk that can be diversified away by holding ATX and Taiwan Wtd in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Taiwan Wtd and ATX 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 ATX 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 ATX i.e. ATX and Taiwan Wtd go up and down completely randomly.

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