Correlation Analysis Between DAX and NZSE

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

DAX  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, DAX is expected to under-perform the NZSE. In addition to that, DAX is 2.59 times more volatile than NZSE. It trades about -0.1 of its total potential returns per unit of risk. NZSE is currently generating about 0.05 per unit of volatility. If you would invest  897,575  in NZSE on June 15, 2018 and sell it today you would earn a total of  4,844  from holding NZSE or generate 0.54% return on investment over 30 days.

Pair Corralation between DAX and NZSE

-0.58
Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy85.19%
ValuesDaily Returns

Diversification

Excellent diversification

Overlapping area represents the amount of risk that can be diversified away by holding DAX and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE and DAX 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 DAX 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 DAX i.e. DAX and NZSE go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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