Correlation Analysis Between Shanghai and XU100

This module allows you to analyze existing cross correlation between Shanghai and XU100. You can compare the effects of market volatilities on Shanghai and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of Shanghai and XU100.
Horizon     30 Days    Login   to change
Symbolsvs

Shanghai  vs.  XU100

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Shanghai is expected to under-perform the XU100. But the index apears to be less risky and, when comparing its historical volatility, Shanghai is 1.51 times less risky than XU100. The index trades about -0.02 of its potential returns per unit of risk. The XU100 is currently generating about 0.35 of returns per unit of risk over similar time horizon. If you would invest  8,873,476  in XU100 on August 26, 2018 and sell it today you would earn a total of  1,081,268  from holding XU100 or generate 12.19% return on investment over 30 days.

Pair Corralation between Shanghai and XU100

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding Shanghai and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of Shanghai i.e. Shanghai and XU100 go up and down completely randomly.
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Comparative Volatility

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