Pair Correlation Between Shanghai and Taiwan Wtd

This module allows you to analyze existing cross correlation between Shanghai and Taiwan Wtd. You can compare the effects of market volatilities on Shanghai and Taiwan Wtd 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 Taiwan Wtd. See also your portfolio center. Please also check ongoing floating volatility patterns of Shanghai and Taiwan Wtd.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 Shanghai  vs   Taiwan Wtd
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Shanghai is expected to under-perform the Taiwan Wtd. But the index apears to be less risky and, when comparing its historical volatility, Shanghai is 1.23 times less risky than Taiwan Wtd. The index trades about -0.37 of its potential returns per unit of risk. The Taiwan Wtd is currently generating about -0.16 of returns per unit of risk over similar time horizon. If you would invest  1,115,216  in Taiwan Wtd on January 24, 2018 and sell it today you would lose (48,978)  from holding Taiwan Wtd or give up 4.39% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Shanghai and Taiwan Wtd
0.91

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy94.12%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns