Correlation Analysis Between NQFI and XU100

This module allows you to analyze existing cross correlation between NQFI and XU100. You can compare the effects of market volatilities on NQFI and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of NQFI and XU100.
Horizon     30 Days    Login   to change
Symbolsvs

NQFI  vs.  XU100

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to under-perform the XU100. But the index apears to be less risky and, when comparing its historical volatility, NQFI is 1.69 times less risky than XU100. The index trades about -0.46 of its potential returns per unit of risk. The XU100 is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest  9,798,816  in XU100 on September 22, 2018 and sell it today you would lose (253,298)  from holding XU100 or give up 2.58% of portfolio value over 30 days.

Pair Corralation between NQFI and XU100

0.47
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.24%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding NQFI and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of NQFI i.e. NQFI and XU100 go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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ExchangeNASDAQ
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