Pair Correlation Between NQFI and Swiss Mrt

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

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to under-perform the Swiss Mrt. In addition to that, NQFI is 1.6 times more volatile than Swiss Mrt. It trades about -0.24 of its total potential returns per unit of risk. Swiss Mrt is currently generating about -0.04 per unit of volatility. If you would invest  923,713  in Swiss Mrt on October 20, 2017 and sell it today you would lose (5,352)  from holding Swiss Mrt or give up 0.58% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between NQFI and Swiss Mrt
0.21

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Modest diversification

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

 Predicted Return Density 
      Returns