Pair Correlation Between Russia TR and Shanghai

This module allows you to analyze existing cross correlation between Russia TR and Shanghai. You can compare the effects of market volatilities on Russia TR 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 Russia TR with a short position of Shanghai. See also your portfolio center. Please also check ongoing floating volatility patterns of Russia TR and Shanghai.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Russia TR  vs   Shanghai
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 1.69 times more return on investment than Shanghai. However, Russia TR is 1.69 times more volatile than Shanghai. It trades about 0.23 of its potential returns per unit of risk. Shanghai is currently generating about -0.11 per unit of risk. If you would invest  98,433  in Russia TR on October 26, 2017 and sell it today you would earn a total of  5,461  from holding Russia TR or generate 5.55% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russia TR and Shanghai
0.17

Parameters

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

Diversification

Average diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns