Pair Correlation Between SP 500 and NQTH

This module allows you to analyze existing cross correlation between S&P 500 and NQTH. You can compare the effects of market volatilities on SP 500 and NQTH 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 NQTH. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and NQTH.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 S&P 500  vs   NQTH
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the NQTH. In addition to that, SP 500 is 2.06 times more volatile than NQTH. It trades about -0.09 of its total potential returns per unit of risk. NQTH is currently generating about -0.04 per unit of volatility. If you would invest  126,219  in NQTH on January 25, 2018 and sell it today you would lose (896.00)  from holding NQTH or give up 0.71% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between SP 500 and NQTH
0.89

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and NQTH in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQTH 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 NQTH. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQTH has no effect on the direction of SP 500 i.e. SP 500 and NQTH go up and down completely randomly.
    Optimize

Comparative Volatility

 Predicted Return Density 
      Returns