Pair Correlation Between All Ords and Nasdaq

This module allows you to analyze existing cross correlation between All Ords and Nasdaq. You can compare the effects of market volatilities on All Ords and Nasdaq 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 All Ords with a short position of Nasdaq. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and Nasdaq.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 All Ords  vs   Nasdaq
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to generate 1.09 times less return on investment than Nasdaq. But when comparing it to its historical volatility, All Ords is 1.65 times less risky than Nasdaq. It trades about 0.15 of its potential returns per unit of risk. Nasdaq is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  662,422  in Nasdaq on October 18, 2017 and sell it today you would earn a total of  8,199  from holding Nasdaq or generate 1.24% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between All Ords and Nasdaq
0.82

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy95.65%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding All Ords and Nasdaq in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Nasdaq and All Ords 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 All Ords are associated (or correlated) with Nasdaq. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nasdaq has no effect on the direction of All Ords i.e. All Ords and Nasdaq go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns