Correlation Analysis Between Russia TR and Shanghai

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

Comparative Performance

 Predicted Return Density 

Russia TR  vs.  Shanghai

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Russia TR is expected to generate 1.25 times less return on investment than Shanghai. But when comparing it to its historical volatility, Russia TR is 1.12 times less risky than Shanghai. It trades about 0.36 of its potential returns per unit of risk. Shanghai is currently generating about 0.4 of returns per unit of risk over similar time horizon. If you would invest  250,482  in Shanghai on January 21, 2019 and sell it today you would earn a total of  25,640  from holding Shanghai or generate 10.24% return on investment over 30 days.

Pair Corralation between Russia TR and Shanghai

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Russia TR and Shanghai

Russia TR diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russia TR and Shanghai in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Shanghai and Russia TR 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 Russia TR 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 Russia TR i.e. Russia TR and Shanghai go up and down completely randomly.

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