Correlation Between Taiwan Weighted and CROBEX
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By analyzing existing cross correlation between Taiwan Weighted and CROBEX, you can compare the effects of market volatilities on Taiwan Weighted and CROBEX 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 CROBEX. Check out your portfolio center. Please also check ongoing floating volatility patterns of Taiwan Weighted and CROBEX.
Diversification Opportunities for Taiwan Weighted and CROBEX
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Taiwan and CROBEX is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Taiwan Weighted and CROBEX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CROBEX 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 CROBEX. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CROBEX has no effect on the direction of Taiwan Weighted i.e., Taiwan Weighted and CROBEX go up and down completely randomly.
Pair Corralation between Taiwan Weighted and CROBEX
Assuming the 90 days trading horizon Taiwan Weighted is expected to generate 4.27 times more return on investment than CROBEX. However, Taiwan Weighted is 4.27 times more volatile than CROBEX. It trades about -0.01 of its potential returns per unit of risk. CROBEX is currently generating about -0.08 per unit of risk. If you would invest 2,041,770 in Taiwan Weighted on February 4, 2024 and sell it today you would lose (8,738) from holding Taiwan Weighted or give up 0.43% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 95.24% |
Values | Daily Returns |
Taiwan Weighted vs. CROBEX
Performance |
Timeline |
Taiwan Weighted and CROBEX Volatility Contrast
Predicted Return Density |
Returns |
Taiwan Weighted
Pair trading matchups for Taiwan Weighted
CROBEX
Pair trading matchups for CROBEX
Pair Trading with Taiwan Weighted and CROBEX
The main advantage of trading using opposite Taiwan Weighted and CROBEX positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Taiwan Weighted position performs unexpectedly, CROBEX 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 CROBEX will offset losses from the drop in CROBEX's long position.Taiwan Weighted vs. Fubon Financial Holding | Taiwan Weighted vs. Formosa Chemicals Fibre | Taiwan Weighted vs. ADLINK Technology | Taiwan Weighted vs. Mercuries Life Insurance |
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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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