Correlation Between Guangzhou Zhujiang and Shanghai Pudong
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By analyzing existing cross correlation between Guangzhou Zhujiang Brewery and Shanghai Pudong Development, you can compare the effects of market volatilities on Guangzhou Zhujiang and Shanghai Pudong 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 Guangzhou Zhujiang with a short position of Shanghai Pudong. Check out your portfolio center. Please also check ongoing floating volatility patterns of Guangzhou Zhujiang and Shanghai Pudong.
Diversification Opportunities for Guangzhou Zhujiang and Shanghai Pudong
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Guangzhou and Shanghai is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Guangzhou Zhujiang Brewery and Shanghai Pudong Development in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Shanghai Pudong Deve and Guangzhou Zhujiang 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 Guangzhou Zhujiang Brewery are associated (or correlated) with Shanghai Pudong. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shanghai Pudong Deve has no effect on the direction of Guangzhou Zhujiang i.e., Guangzhou Zhujiang and Shanghai Pudong go up and down completely randomly.
Pair Corralation between Guangzhou Zhujiang and Shanghai Pudong
Assuming the 90 days trading horizon Guangzhou Zhujiang Brewery is expected to under-perform the Shanghai Pudong. In addition to that, Guangzhou Zhujiang is 1.1 times more volatile than Shanghai Pudong Development. It trades about -0.17 of its total potential returns per unit of risk. Shanghai Pudong Development is currently generating about -0.18 per unit of volatility. If you would invest 1,006 in Shanghai Pudong Development on August 27, 2024 and sell it today you would lose (58.00) from holding Shanghai Pudong Development or give up 5.77% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Guangzhou Zhujiang Brewery vs. Shanghai Pudong Development
Performance |
| Timeline |
| Guangzhou Zhujiang |
| Shanghai Pudong Deve |
Guangzhou Zhujiang and Shanghai Pudong Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Guangzhou Zhujiang and Shanghai Pudong
The main advantage of trading using opposite Guangzhou Zhujiang and Shanghai Pudong positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Guangzhou Zhujiang position performs unexpectedly, Shanghai Pudong can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Shanghai Pudong will offset losses from the drop in Shanghai Pudong's long position.| Guangzhou Zhujiang vs. China Petroleum Chemical | Guangzhou Zhujiang vs. PetroChina Co Ltd | Guangzhou Zhujiang vs. China State Construction | Guangzhou Zhujiang vs. China Railway Group |
| Shanghai Pudong vs. CICT Mobile Communication | Shanghai Pudong vs. Guangzhou Zhujiang Brewery | Shanghai Pudong vs. State Grid InformationCommunication | Shanghai Pudong vs. Offshore Oil Engineering |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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