Correlation Analysis Between SP 500 and NQFI

This module allows you to analyze existing cross correlation between S&P 500 and NQFI. You can compare the effects of market volatilities on SP 500 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 SP 500 with a short position of NQFI. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and NQFI.
Horizon     30 Days    Login   to change
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Comparative Performance

 Predicted Return Density 
      Returns 

S&P 500  vs.  NQFI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SP 500 is expected to generate 2.81 times less return on investment than NQFI. But when comparing it to its historical volatility, S&P 500 is 1.18 times less risky than NQFI. It trades about 0.01 of its potential returns per unit of risk. NQFI is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  143,064  in NQFI on September 17, 2019 and sell it today you would earn a total of  1,400  from holding NQFI or generate 0.98% return on investment over 30 days.

Pair Corralation between SP 500 and NQFI

-0.17
Time Period3 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy57.14%
ValuesDaily Returns

Diversification Opportunities for SP 500 and NQFI

S&P 500 diversification synergy

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and NQFI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQFI and SP 500 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 S&P 500 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 SP 500 i.e. SP 500 and NQFI go up and down completely randomly.
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