Pair Correlation Between NIKKEI 225 and NQTH

This module allows you to analyze existing cross correlation between NIKKEI 225 and NQTH. You can compare the effects of market volatilities on NIKKEI 225 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 NIKKEI 225 with a short position of NQTH. See also your portfolio center. Please also check ongoing floating volatility patterns of NIKKEI 225 and NQTH.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 NIKKEI 225  vs   NQTH
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NIKKEI 225 is expected to generate 1.25 times less return on investment than NQTH. In addition to that, NIKKEI 225 is 1.42 times more volatile than NQTH. It trades about 0.14 of its total potential returns per unit of risk. NQTH is currently generating about 0.25 per unit of volatility. If you would invest  112,403  in NQTH on October 22, 2017 and sell it today you would earn a total of  3,550  from holding NQTH or generate 3.16% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NIKKEI 225 and NQTH
0.43

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.24%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding NIKKEI 225 and NQTH in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQTH and NIKKEI 225 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 NIKKEI 225 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 NIKKEI 225 i.e. NIKKEI 225 and NQTH go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns