This module allows you to analyze existing cross correlation between Shanghai and Straits Tms. You can compare the effects of market volatilities on Shanghai and Straits Tms 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 Straits Tms. See also your portfolio center. Please also check ongoing floating volatility patterns of Shanghai and Straits Tms.
Assuming 30 trading days horizon, Shanghai is expected to under-perform the Straits Tms. In addition to that, Shanghai is 1.2 times more volatile than Straits Tms. It trades about -0.1 of its total potential returns per unit of risk. Straits Tms is currently generating about 0.02 per unit of volatility. If you would invest 355,585 in Straits Tms on March 27, 2018 and sell it today you would earn a total of 2,871 from holding Straits Tms or generate 0.81% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding Shanghai and Straits Tms in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Straits Tms 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 Straits Tms. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Straits Tms has no effect on the direction of Shanghai i.e. Shanghai and Straits Tms go up and down completely randomly.
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