Pair Correlation Between Hang Seng and XU100

This module allows you to analyze existing cross correlation between Hang Seng and XU100. You can compare the effects of market volatilities on Hang Seng and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of Hang Seng and XU100.
 Time Horizon     30 Days    Login   to change
Symbolsvs

Hang Seng  vs.  XU100

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Hang Seng is expected to generate 1.3 times more return on investment than XU100. However, Hang Seng is 1.3 times more volatile than XU100. It trades about -0.06 of its potential returns per unit of risk. XU100 is currently generating about -0.13 per unit of risk. If you would invest  3,143,189  in Hang Seng on March 23, 2018 and sell it today you would lose (130,367)  from holding Hang Seng or give up 4.15% of portfolio value over 30 days.

Pair Corralation between Hang Seng and XU100

0.87
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy90.2%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Hang Seng and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of Hang Seng i.e. Hang Seng and XU100 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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.