Pair Correlation Between NQFI and ATX

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

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to under-perform the ATX. In addition to that, NQFI is 1.45 times more volatile than ATX. It trades about -0.24 of its total potential returns per unit of risk. ATX is currently generating about -0.15 per unit of volatility. If you would invest  338,315  in ATX on October 20, 2017 and sell it today you would lose (6,845)  from holding ATX or give up 2.02% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between NQFI and ATX
0.19

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Average diversification

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

 Predicted Return Density 
      Returns