Correlation Analysis Between Seoul Comp and NQFI

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

Seoul Comp  vs.  NQFI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Seoul Comp is expected to generate 1.08 times less return on investment than NQFI. But when comparing it to its historical volatility, Seoul Comp is 1.91 times less risky than NQFI. It trades about 0.21 of its potential returns per unit of risk. NQFI is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  160,560  in NQFI on August 24, 2018 and sell it today you would earn a total of  4,524  from holding NQFI or generate 2.82% return on investment over 30 days.

Pair Corralation between Seoul Comp and NQFI

0.67
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns 

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Alphabet
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ExchangeNASDAQ
$1171.09

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