Correlation Analysis Between Seoul Comp and NQTH

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

Comparative Performance

 Predicted Return Density 

Seoul Comp  vs.  NQTH

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Seoul Comp is expected to under-perform the NQTH. In addition to that, Seoul Comp is 1.15 times more volatile than NQTH. It trades about -0.11 of its total potential returns per unit of risk. NQTH is currently generating about -0.11 per unit of volatility. If you would invest  111,498  in NQTH on November 18, 2018 and sell it today you would lose (5,232)  from holding NQTH or give up 4.69% of portfolio value over 30 days.

Pair Corralation between Seoul Comp and NQTH

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Seoul Comp and NQTH

Seoul Comp diversification synergy

Average diversification

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

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