Correlation Analysis Between Shanghai and Russell 2000

This module allows you to analyze existing cross correlation between Shanghai and Russell 2000 . You can compare the effects of market volatilities on Shanghai and Russell 2000 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 Russell 2000. See also your portfolio center. Please also check ongoing floating volatility patterns of Shanghai and Russell 2000.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

Shanghai  vs.  Russell 2000

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Shanghai is expected to generate 0.9 times more return on investment than Russell 2000. However, Shanghai is 1.11 times less risky than Russell 2000. It trades about 0.02 of its potential returns per unit of risk. Russell 2000 is currently generating about -0.13 per unit of risk. If you would invest  257,008  in Shanghai on November 14, 2018 and sell it today you would earn a total of  2,366  from holding Shanghai or generate 0.92% return on investment over 30 days.

Pair Corralation between Shanghai and Russell 2000

Time Period2 Months [change]
StrengthVery Weak
ValuesDaily Returns

Diversification Opportunities for Shanghai and Russell 2000

Shanghai diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding Shanghai and Russell 2000 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Russell 2000 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 Russell 2000. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Russell 2000 has no effect on the direction of Shanghai i.e. Shanghai and Russell 2000 go up and down completely randomly.

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See also your portfolio center. Please also try Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.