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This module allows you to analyze existing cross correlation between Shanghai and Hang Seng. You can compare the effects of market volatilities on Shanghai and Hang Seng 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 Hang Seng. See also your portfolio center. Please also check ongoing floating volatility patterns of Shanghai and Hang Seng.
|Horizon||30 Days Login to change|
Predicted Return Density
Shanghai vs. Hang Seng
Assuming 30 trading days horizon, Shanghai is expected to generate 646.18 times less return on investment than Hang Seng. But when comparing it to its historical volatility, Shanghai is 105.16 times less risky than Hang Seng. It trades about 0.02 of its potential returns per unit of risk. Hang Seng is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 2,547,000 in Hang Seng on November 14, 2018 and sell it today you would earn a total of 62,479 from holding Hang Seng or generate 2.45% return on investment over 30 days.
Pair Corralation between Shanghai and Hang Seng
|Time Period||2 Months [change]|
Diversification Opportunities for Shanghai and Hang Seng
Overlapping area represents the amount of risk that can be diversified away by holding Shanghai and Hang Seng in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Hang Seng 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 Hang Seng. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Hang Seng has no effect on the direction of Shanghai i.e. Shanghai and Hang Seng go up and down completely randomly.