Pair Correlation Between NQEGT and Straits Tms

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

Pair Volatility

Assuming 30 trading days horizon, NQEGT is expected to generate 1.81 times more return on investment than Straits Tms. However, NQEGT is 1.81 times more volatile than Straits Tms. It trades about 0.06 of its potential returns per unit of risk. Straits Tms is currently generating about 0.02 per unit of risk. If you would invest  103,680  in NQEGT on October 19, 2017 and sell it today you would earn a total of  1,124  from holding NQEGT or generate 1.08% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NQEGT and Straits Tms
0.78

Parameters

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

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding NQEGT and Straits Tms in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Straits Tms 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 Straits Tms. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Straits Tms has no effect on the direction of NQEGT i.e. NQEGT and Straits Tms go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns