Correlation Analysis Between Shanghai and SP 500

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
Compare Efficiency

Comparative Performance

 Predicted Return Density 

Shanghai  vs.  S&P 500

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Shanghai is expected to generate 1.15 times less return on investment than SP 500. But when comparing it to its historical volatility, Shanghai is 1.77 times less risky than SP 500. It trades about 0.34 of its potential returns per unit of risk. S&P 500 is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest  241,658  in S&P 500 on January 20, 2019 and sell it today you would earn a total of  36,043  from holding S&P 500 or generate 14.91% return on investment over 30 days.

Pair Corralation between Shanghai and SP 500

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Shanghai and SP 500

Shanghai diversification synergy

Good diversification

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.

Thematic Opportunities

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Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked.
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See also your portfolio center. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.