Correlation Analysis Between Hang Seng and Swiss Mrt

This module allows you to analyze existing cross correlation between Hang Seng and Swiss Mrt. You can compare the effects of market volatilities on Hang Seng and Swiss Mrt 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 Hang Seng with a short position of Swiss Mrt. See also your portfolio center. Please also check ongoing floating volatility patterns of Hang Seng and Swiss Mrt.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Hang Seng  vs.  Swiss Mrt

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Hang Seng is expected to under-perform the Swiss Mrt. But the index apears to be less risky and, when comparing its historical volatility, Hang Seng is 1.02 times less risky than Swiss Mrt. The index trades about -0.21 of its potential returns per unit of risk. The Swiss Mrt is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest  855,751  in Swiss Mrt on June 20, 2018 and sell it today you would earn a total of  39,974  from holding Swiss Mrt or generate 4.67% return on investment over 30 days.

Pair Corralation between Hang Seng and Swiss Mrt

0.88
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.


 
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