This module allows you to analyze existing cross correlation between Shanghai and S&P 500. You can compare the effects of market volatilities on Shanghai and SP 500 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 SP 500. See also your portfolio center. Please also check ongoing floating volatility patterns of Shanghai and SP 500.
|Horizon||30 Days Login to change|
Predicted Return Density
Shanghai vs. S&P 500
Assuming 30 trading days horizon, Shanghai is expected to under-perform the SP 500. In addition to that, Shanghai is 1.9 times more volatile than S&P 500. It trades about -0.2 of its total potential returns per unit of risk. S&P 500 is currently generating about -0.01 per unit of volatility. If you would invest 290,045 in S&P 500 on May 17, 2019 and sell it today you would lose (1,347) from holding S&P 500 or give up 0.46% of portfolio value over 30 days.
Pair Corralation between Shanghai and SP 500
|Time Period||2 Months [change]|
Diversification Opportunities for Shanghai and SP 500
Overlapping area represents the amount of risk that can be diversified away by holding Shanghai and S&P 500 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SP 500 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 SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of Shanghai i.e. Shanghai and SP 500 go up and down completely randomly.
See also your portfolio center. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.