Pair Correlation Between Taiwan Wtd and Shanghai

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

Pair Volatility

Assuming 30 trading days horizon, Taiwan Wtd is expected to under-perform the Shanghai. But the index apears to be less risky and, when comparing its historical volatility, Taiwan Wtd is 1.23 times less risky than Shanghai. The index trades about -0.03 of its potential returns per unit of risk. The Shanghai is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  337,865  in Shanghai on October 20, 2017 and sell it today you would earn a total of  426  from holding Shanghai or generate 0.13% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Taiwan Wtd and Shanghai
-0.25

Parameters

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

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns