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This module allows you to analyze existing cross correlation between Seoul Comp and Taiwan Wtd. You can compare the effects of market volatilities on Seoul Comp 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 Seoul Comp with a short position of Taiwan Wtd. See also your portfolio center. Please also check ongoing floating volatility patterns of Seoul Comp and Taiwan Wtd.
|Horizon||30 Days Login to change|
Predicted Return Density
Seoul Comp vs. Taiwan Wtd
Assuming 30 trading days horizon, Seoul Comp is expected to under-perform the Taiwan Wtd. In addition to that, Seoul Comp is 1.08 times more volatile than Taiwan Wtd. It trades about -0.11 of its total potential returns per unit of risk. Taiwan Wtd is currently generating about -0.01 per unit of volatility. If you would invest 977,520 in Taiwan Wtd on November 18, 2018 and sell it today you would lose (5,638) from holding Taiwan Wtd or give up 0.58% of portfolio value over 30 days.
Pair Corralation between Seoul Comp and Taiwan Wtd
|Time Period||2 Months [change]|
Diversification Opportunities for Seoul Comp and Taiwan Wtd
Almost no diversification
Overlapping area represents the amount of risk that can be diversified away by holding Seoul Comp and Taiwan Wtd in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Taiwan Wtd and Seoul Comp 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 Seoul Comp 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 Seoul Comp i.e. Seoul Comp and Taiwan Wtd go up and down completely randomly.