This module allows you to analyze existing cross correlation between Shanghai and EURONEXT BEL-20. You can compare the effects of market volatilities on Shanghai and EURONEXT BEL-20 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 Shanghai with a short position of EURONEXT BEL-20. See also your portfolio center. Please also check ongoing floating volatility patterns of Shanghai and EURONEXT BEL-20.
|Horizon||30 Days Login to change|
Predicted Return Density
Shanghai vs. EURONEXT BEL-20
Assuming 30 trading days horizon, Shanghai is expected to generate 1.67 times less return on investment than EURONEXT BEL-20. But when comparing it to its historical volatility, Shanghai is 1.5 times less risky than EURONEXT BEL-20. It trades about 0.01 of its potential returns per unit of risk. EURONEXT BEL-20 is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 372,647 in EURONEXT BEL-20 on September 22, 2019 and sell it today you would earn a total of 2,646 from holding EURONEXT BEL-20 or generate 0.71% return on investment over 30 days.
Pair Corralation between Shanghai and EURONEXT BEL-20
|Time Period||3 Months [change]|
Diversification Opportunities for Shanghai and EURONEXT BEL-20
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Shanghai and EURONEXT BEL-20 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on EURONEXT BEL-20 and Shanghai 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 Shanghai are associated (or correlated) with EURONEXT BEL-20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EURONEXT BEL-20 has no effect on the direction of Shanghai i.e. Shanghai and EURONEXT BEL-20 go up and down completely randomly.
See also your portfolio center. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.