Correlation Between Taiwan Weighted and CTBC 20
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By analyzing existing cross correlation between Taiwan Weighted and CTBC 20 Year, you can compare the effects of market volatilities on Taiwan Weighted and CTBC 20 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 Taiwan Weighted with a short position of CTBC 20. Check out your portfolio center. Please also check ongoing floating volatility patterns of Taiwan Weighted and CTBC 20.
Diversification Opportunities for Taiwan Weighted and CTBC 20
-0.8 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Taiwan and CTBC is -0.8. Overlapping area represents the amount of risk that can be diversified away by holding Taiwan Weighted and CTBC 20 Year in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CTBC 20 Year and Taiwan Weighted 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 Taiwan Weighted are associated (or correlated) with CTBC 20. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CTBC 20 Year has no effect on the direction of Taiwan Weighted i.e., Taiwan Weighted and CTBC 20 go up and down completely randomly.
Pair Corralation between Taiwan Weighted and CTBC 20
Assuming the 90 days trading horizon Taiwan Weighted is expected to under-perform the CTBC 20. In addition to that, Taiwan Weighted is 1.45 times more volatile than CTBC 20 Year. It trades about -0.11 of its total potential returns per unit of risk. CTBC 20 Year is currently generating about 0.27 per unit of volatility. If you would invest 3,323 in CTBC 20 Year on September 2, 2024 and sell it today you would earn a total of 128.00 from holding CTBC 20 Year or generate 3.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Taiwan Weighted vs. CTBC 20 Year
Performance |
| Timeline |
Taiwan Weighted and CTBC 20 Volatility Contrast
Predicted Return Density |
| Returns |
Taiwan Weighted
Pair trading matchups for Taiwan Weighted
CTBC 20 Year
Pair trading matchups for CTBC 20
Pair Trading with Taiwan Weighted and CTBC 20
The main advantage of trading using opposite Taiwan Weighted and CTBC 20 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Taiwan Weighted position performs unexpectedly, CTBC 20 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 CTBC 20 will offset losses from the drop in CTBC 20's long position.| Taiwan Weighted vs. Wei Chuan Foods | Taiwan Weighted vs. Sunny Friend Environmental | Taiwan Weighted vs. Mayer Steel Pipe | Taiwan Weighted vs. Standard Foods Corp |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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