Pair Correlation Between Shanghai and Hang Seng

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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Shanghai  vs   Hang Seng
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Shanghai is expected to under-perform the Hang Seng. But the index apears to be less risky and, when comparing its historical volatility, Shanghai is 1.07 times less risky than Hang Seng. The index trades about -0.11 of its potential returns per unit of risk. The Hang Seng is currently generating about 0.38 of returns per unit of risk over similar time horizon. If you would invest  2,820,238  in Hang Seng on October 26, 2017 and sell it today you would earn a total of  166,394  from holding Hang Seng or generate 5.9% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Shanghai and Hang Seng
-0.05

Parameters

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

Diversification

Good diversification

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.
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Comparative Volatility

 Predicted Return Density 
      Returns