Pair Correlation Between Hang Seng and Taiwan Wtd

This module allows you to analyze existing cross correlation between Hang Seng and Taiwan Wtd. You can compare the effects of market volatilities on Hang Seng 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 Hang Seng with a short position of Taiwan Wtd. See also your portfolio center. Please also check ongoing floating volatility patterns of Hang Seng and Taiwan Wtd.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Hang Seng  vs   Taiwan Wtd
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Hang Seng is expected to generate 1.86 times more return on investment than Taiwan Wtd. However, Hang Seng is 1.86 times more volatile than Taiwan Wtd. It trades about 0.19 of its potential returns per unit of risk. Taiwan Wtd is currently generating about -0.03 per unit of risk. If you would invest  2,848,724  in Hang Seng on October 20, 2017 and sell it today you would earn a total of  71,180  from holding Hang Seng or generate 2.5% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Hang Seng and Taiwan Wtd
-0.31

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns