Pair Correlation Between NQFI and NQPH

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

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to under-perform the NQPH. In addition to that, NQFI is 1.18 times more volatile than NQPH. It trades about -0.17 of its total potential returns per unit of risk. NQPH is currently generating about -0.09 per unit of volatility. If you would invest  118,586  in NQPH on October 18, 2017 and sell it today you would lose (2,117)  from holding NQPH or give up 1.79% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between NQFI and NQPH
-0.18

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification

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

 Predicted Return Density 
      Returns