Correlation Analysis Between ISEQ and NZSE

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

 Predicted Return Density 
      Returns 

ISEQ  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, ISEQ is expected to under-perform the NZSE. In addition to that, ISEQ is 1.95 times more volatile than NZSE. It trades about -0.16 of its total potential returns per unit of risk. NZSE is currently generating about -0.05 per unit of volatility. If you would invest  883,807  in NZSE on November 14, 2018 and sell it today you would lose (11,556)  from holding NZSE or give up 1.31% of portfolio value over 30 days.

Pair Corralation between ISEQ and NZSE

0.27
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy80.0%
ValuesDaily Returns

Diversification Opportunities for ISEQ and NZSE

ISEQ diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding ISEQ and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE 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 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 ISEQ i.e. ISEQ and NZSE go up and down completely randomly.
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See also your portfolio center. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.


 
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