Correlation Analysis Between ISEQ and Taiwan Wtd

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

ISEQ  vs.  Taiwan Wtd

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, ISEQ is expected to under-perform the Taiwan Wtd. But the index apears to be less risky and, when comparing its historical volatility, ISEQ is 1.86 times less risky than Taiwan Wtd. The index trades about -0.09 of its potential returns per unit of risk. The Taiwan Wtd is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  1,096,620  in Taiwan Wtd on May 21, 2018 and sell it today you would lose (3,876)  from holding Taiwan Wtd or give up 0.35% of portfolio value over 30 days.

Pair Corralation between ISEQ and Taiwan Wtd

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Pay attention

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

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.