Pair Correlation Between BSE and NZSE

This module allows you to analyze existing cross correlation between BSE and NZSE. You can compare the effects of market volatilities on BSE and NZSE 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 BSE with a short position of NZSE. See also your portfolio center. Please also check ongoing floating volatility patterns of BSE and NZSE.
 Time Horizon     30 Days    Login   to change
Symbolsvs

BSE  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to generate 1.34 times more return on investment than NZSE. However, BSE is 1.34 times more volatile than NZSE. It trades about 0.04 of its potential returns per unit of risk. NZSE is currently generating about 0.04 per unit of risk. If you would invest  3,384,486  in BSE on March 23, 2018 and sell it today you would earn a total of  55,901  from holding BSE or generate 1.65% return on investment over 30 days.

Pair Corralation between BSE and NZSE

0.78
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy94.44%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.