Correlation Analysis Between Shanghai and NASDAQ Italy

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

 Predicted Return Density 
      Returns 

Shanghai  vs.  NASDAQ Italy

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Shanghai is expected to generate 9.02 times less return on investment than NASDAQ Italy. But when comparing it to its historical volatility, Shanghai is 1.84 times less risky than NASDAQ Italy. It trades about 0.01 of its potential returns per unit of risk. NASDAQ Italy is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  109,487  in NASDAQ Italy on September 19, 2019 and sell it today you would earn a total of  3,041  from holding NASDAQ Italy or generate 2.78% return on investment over 30 days.

Pair Corralation between Shanghai and NASDAQ Italy

1.0
Time Period3 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy52.7%
ValuesDaily Returns

Diversification Opportunities for Shanghai and NASDAQ Italy

Shanghai diversification synergy

No risk reduction

Overlapping area represents the amount of risk that can be diversified away by holding Shanghai and NASDAQ Italy in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NASDAQ Italy 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 NASDAQ Italy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NASDAQ Italy has no effect on the direction of Shanghai i.e. Shanghai and NASDAQ Italy go up and down completely randomly.
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See also your portfolio center. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.


 
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