Correlation Analysis Between All Ords and NQEGT

This module allows you to analyze existing cross correlation between All Ords and NQEGT. You can compare the effects of market volatilities on All Ords and NQEGT 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 NQEGT. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and NQEGT.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

All Ords  vs.  NQEGT

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to under-perform the NQEGT. But the index apears to be less risky and, when comparing its historical volatility, All Ords is 1.42 times less risky than NQEGT. The index trades about -0.12 of its potential returns per unit of risk. The NQEGT is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  106,042  in NQEGT on November 14, 2018 and sell it today you would lose (1,190)  from holding NQEGT or give up 1.12% of portfolio value over 30 days.

Pair Corralation between All Ords and NQEGT

0.48
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy80.0%
ValuesDaily Returns

Diversification Opportunities for All Ords and NQEGT

All Ords diversification synergy

Very weak diversification

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