Correlation Analysis Between All Ords and NQFI

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

All Ords  vs.  NQFI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to under-perform the NQFI. But the index apears to be less risky and, when comparing its historical volatility, All Ords is 1.06 times less risky than NQFI. The index trades about -0.18 of its potential returns per unit of risk. The NQFI is currently generating about -0.13 of returns per unit of risk over similar time horizon. If you would invest  150,893  in NQFI on October 17, 2018 and sell it today you would lose (5,094)  from holding NQFI or give up 3.38% of portfolio value over 30 days.

Pair Corralation between All Ords and NQFI

0.29
Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy82.61%
ValuesDaily Returns

Diversification

All Ords diversification synergy

Modest diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 

My Equities

My Current Equities and Potential Positions

View AllNext
GOOG - USA Stock
Alphabet
Specialization
IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1053.65

Thematic Opportunities

Explore Investment Opportunities

Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked.
Explore Thematic Ideas
Explore Investing Ideas  
See also your portfolio center. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.


 
Search macroaxis.com