Correlation Analysis Between FTSE MIB and Shanghai

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

FTSE MIB  vs.  Shanghai

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, FTSE MIB is expected to under-perform the Shanghai. In addition to that, FTSE MIB is 58.03 times more volatile than Shanghai. It trades about -0.58 of its total potential returns per unit of risk. Shanghai is currently generating about -0.28 per unit of volatility. If you would invest  315,465  in Shanghai on May 24, 2018 and sell it today you would lose (26,489)  from holding Shanghai or give up 8.4% of portfolio value over 30 days.

Pair Corralation between FTSE MIB and Shanghai

Time Period1 Month [change]
ValuesDaily Returns


Pay attention

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

Comparative Volatility

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