Pair Correlation Between NQPH and Shanghai

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

NQPH  vs.  Shanghai

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NQPH is expected to under-perform the Shanghai. But the index apears to be less risky and, when comparing its historical volatility, NQPH is 1.07 times less risky than Shanghai. The index trades about -0.23 of its potential returns per unit of risk. The Shanghai is currently generating about -0.1 of returns per unit of risk over similar time horizon. If you would invest  326,856  in Shanghai on March 22, 2018 and sell it today you would lose (19,702)  from holding Shanghai or give up 6.03% of portfolio value over 30 days.

Pair Corralation between NQPH and Shanghai

0.68
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy87.27%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.