Correlation Analysis Between Shanghai and IPC

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

Comparative Performance

 Predicted Return Density 

Shanghai  vs.  IPC

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Shanghai is expected to generate 0.75 times more return on investment than IPC. However, Shanghai is 1.34 times less risky than IPC. It trades about 0.07 of its potential returns per unit of risk. IPC is currently generating about -0.19 per unit of risk. If you would invest  251,190  in Shanghai on November 16, 2018 and sell it today you would earn a total of  8,184  from holding Shanghai or generate 3.26% return on investment over 30 days.

Pair Corralation between Shanghai and IPC

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Shanghai and IPC

Shanghai diversification synergy

Significant diversification

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

Thematic Opportunities

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See also your portfolio center. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.