Correlation Analysis 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.
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. In addition to that, Taiwan Wtd is 1.07 times more volatile than Shanghai. It trades about -0.29 of its total potential returns per unit of risk. Shanghai is currently generating about -0.27 per unit of volatility. If you would invest  279,748  in Shanghai on September 22, 2018 and sell it today you would lose (24,701)  from holding Shanghai or give up 8.83% of portfolio value over 30 days.

Pair Corralation between Taiwan Wtd and Shanghai

0.91
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy95.24%
ValuesDaily Returns

Diversification

Almost no 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 

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