Correlation Analysis Between Shanghai and SPTSX Comp

This module allows you to analyze existing cross correlation between Shanghai and SPTSX Comp. You can compare the effects of market volatilities on Shanghai and SPTSX Comp 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 SPTSX Comp. See also your portfolio center. Please also check ongoing floating volatility patterns of Shanghai and SPTSX Comp.
Horizon     30 Days    Login   to change
Symbolsvs

Shanghai  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Shanghai is expected to generate 1.7 times more return on investment than SPTSX Comp. However, Shanghai is 1.7 times more volatile than SPTSX Comp. It trades about 0.23 of its potential returns per unit of risk. SPTSX Comp is currently generating about -0.14 per unit of risk. If you would invest  251,190  in Shanghai on October 17, 2018 and sell it today you would earn a total of  16,721  from holding Shanghai or generate 6.66% return on investment over 30 days.

Pair Corralation between Shanghai and SPTSX Comp

-0.34
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy90.91%
ValuesDaily Returns

Diversification

Shanghai diversification synergy

Very good diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Cryptocurrency Correlation module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins and exchanges.


 
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