Correlation Analysis Between IPC and Taiwan Wtd

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

IPC  vs.  Taiwan Wtd

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, IPC is expected to generate 0.53 times more return on investment than Taiwan Wtd. However, IPC is 1.9 times less risky than Taiwan Wtd. It trades about -0.14 of its potential returns per unit of risk. Taiwan Wtd is currently generating about -0.2 per unit of risk. If you would invest  4,953,065  in IPC on September 17, 2018 and sell it today you would lose (133,908)  from holding IPC or give up 2.7% of portfolio value over 30 days.

Pair Corralation between IPC and Taiwan Wtd

0.88
Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns 

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