Correlation Analysis Between All Ords and NYSE

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

All Ords  vs.  NYSE

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to under-perform the NYSE. But the index apears to be less risky and, when comparing its historical volatility, All Ords is 1.16 times less risky than NYSE. The index trades about -0.16 of its potential returns per unit of risk. The NYSE is currently generating about -0.1 of returns per unit of risk over similar time horizon. If you would invest  1,243,942  in NYSE on November 11, 2018 and sell it today you would lose (57,877)  from holding NYSE or give up 4.65% of portfolio value over 30 days.

Pair Corralation between All Ords and NYSE

Time Period2 Months [change]
ValuesDaily Returns


All Ords diversification synergy

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.