Correlation Analysis Between ATX and Shanghai

This module allows you to analyze existing cross correlation between ATX and Shanghai. You can compare the effects of market volatilities on ATX and Shanghai 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 Shanghai. See also your portfolio center. Please also check ongoing floating volatility patterns of ATX and Shanghai.
 Time Horizon     30 Days    Login   to change
Symbolsvs

ATX  vs.  Shanghai

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to generate 0.62 times more return on investment than Shanghai. However, ATX is 1.62 times less risky than Shanghai. It trades about 0.05 of its potential returns per unit of risk. Shanghai is currently generating about -0.15 per unit of risk. If you would invest  326,860  in ATX on June 19, 2018 and sell it today you would earn a total of  3,215  from holding ATX or generate 0.98% return on investment over 30 days.

Pair Corralation between ATX and Shanghai

0.86
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy96.67%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding ATX and Shanghai in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Shanghai 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 Shanghai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shanghai has no effect on the direction of ATX i.e. ATX and Shanghai go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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ExchangeNASDAQ
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See also your portfolio center. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.