Correlation Analysis Between NQEGT and NZSE

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

NQEGT  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NQEGT is expected to generate 1.63 times more return on investment than NZSE. However, NQEGT is 1.63 times more volatile than NZSE. It trades about -0.06 of its potential returns per unit of risk. NZSE is currently generating about -0.26 per unit of risk. If you would invest  112,396  in NQEGT on September 21, 2018 and sell it today you would lose (2,599)  from holding NQEGT or give up 2.31% of portfolio value over 30 days.

Pair Corralation between NQEGT and NZSE

0.73
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 NQEGT and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE and NQEGT 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 NQEGT 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 NQEGT i.e. NQEGT and NZSE go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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