Correlation Analysis Between NIKKEI 225 and Shanghai

This module allows you to analyze existing cross correlation between NIKKEI 225 and Shanghai. You can compare the effects of market volatilities on NIKKEI 225 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 NIKKEI 225 with a short position of Shanghai. See also your portfolio center. Please also check ongoing floating volatility patterns of NIKKEI 225 and Shanghai.
Horizon     30 Days    Login   to change
Symbolsvs

NIKKEI 225  vs.  Shanghai

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NIKKEI 225 is expected to under-perform the Shanghai. In addition to that, NIKKEI 225 is 1.0 times more volatile than Shanghai. It trades about -0.14 of its total potential returns per unit of risk. Shanghai is currently generating about 0.0 per unit of volatility. If you would invest  260,691  in Shanghai on November 11, 2018 and sell it today you would lose (1,282)  from holding Shanghai or give up 0.49% of portfolio value over 30 days.

Pair Corralation between NIKKEI 225 and Shanghai

0.51
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy91.89%
ValuesDaily Returns

Diversification

NIKKEI 225 diversification synergy

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding NIKKEI 225 and Shanghai in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Shanghai and NIKKEI 225 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 NIKKEI 225 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 NIKKEI 225 i.e. NIKKEI 225 and Shanghai go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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