Correlation Analysis Between IPC and NZSE

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

IPC  vs.  NZSE

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, IPC is expected to generate 0.87 times more return on investment than NZSE. However, IPC is 1.15 times less risky than NZSE. It trades about -0.14 of its potential returns per unit of risk. NZSE is currently generating about -0.17 per unit of risk. If you would invest  4,953,065  in IPC on September 17, 2018 and sell it today you would lose (133,908)  from holding IPC or give up 2.7% of portfolio value over 30 days.

Pair Corralation between IPC and NZSE

Time Period1 Month [change]
ValuesDaily Returns


Very poor diversification

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

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.