This module allows you to analyze existing cross correlation between ISEQ and NQTH. You can compare the effects of market volatilities on ISEQ 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 ISEQ with a short position of NQTH. See also your portfolio center
. Please also check ongoing floating volatility patterns of ISEQ
ISEQ vs. NQTH
Assuming 30 trading days horizon, ISEQ is expected to generate 0.87 times more return on investment than NQTH. However, ISEQ is 1.15 times less risky than NQTH. It trades about 0.04 of its potential returns per unit of risk. NQTH is currently generating about -0.11 per unit of risk. If you would invest 673,827 in ISEQ on March 28, 2018 and sell it today you would earn a total of 7,226 from holding ISEQ or generate 1.07% return on investment over 30 days.
Pair Corralation between ISEQ and NQTH
|Time Period||2 Months [change]|
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding ISEQ and NQTH in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQTH and ISEQ 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 ISEQ 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 ISEQ i.e. ISEQ and NQTH go up and down completely randomly.
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