Correlation Analysis Between ISEQ and Shanghai

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

ISEQ  vs.  Shanghai

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, ISEQ is expected to under-perform the Shanghai. But the index apears to be less risky and, when comparing its historical volatility, ISEQ is 1.02 times less risky than Shanghai. The index trades about -0.17 of its potential returns per unit of risk. The Shanghai is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  258,346  in Shanghai on November 10, 2018 and sell it today you would earn a total of  112.00  from holding Shanghai or generate 0.04% return on investment over 30 days.

Pair Corralation between ISEQ and Shanghai

Time Period2 Months [change]
StrengthVery Weak
ValuesDaily Returns


ISEQ diversification synergy

Weak diversification

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

Comparative Volatility

 Predicted Return Density 

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