Correlation Analysis Between Taiwan Wtd and ATX

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

Comparative Performance

 Predicted Return Density 

Taiwan Wtd  vs.  ATX

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Taiwan Wtd is expected to generate 0.6 times more return on investment than ATX. However, Taiwan Wtd is 1.68 times less risky than ATX. It trades about -0.03 of its potential returns per unit of risk. ATX is currently generating about -0.13 per unit of risk. If you would invest  990,112  in Taiwan Wtd on November 14, 2018 and sell it today you would lose (12,696)  from holding Taiwan Wtd or give up 1.28% of portfolio value over 30 days.

Pair Corralation between Taiwan Wtd and ATX

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Taiwan Wtd and ATX

Taiwan Wtd diversification synergy

Average diversification

Overlapping area represents the amount of risk that can be diversified away by holding Taiwan Wtd and ATX in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ATX and Taiwan Wtd 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 Taiwan Wtd are associated (or correlated) with ATX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATX has no effect on the direction of Taiwan Wtd i.e. Taiwan Wtd and ATX go up and down completely randomly.

Thematic Opportunities

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.