Correlation Analysis Between NQTH and Seoul Comp

This module allows you to analyze existing cross correlation between NQTH and Seoul Comp. You can compare the effects of market volatilities on NQTH and Seoul Comp 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 NQTH with a short position of Seoul Comp. See also your portfolio center. Please also check ongoing floating volatility patterns of NQTH and Seoul Comp.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

NQTH  vs.  Seoul Comp

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NQTH is expected to generate 0.86 times more return on investment than Seoul Comp. However, NQTH is 1.16 times less risky than Seoul Comp. It trades about -0.11 of its potential returns per unit of risk. Seoul Comp is currently generating about -0.1 per unit of risk. If you would invest  111,498  in NQTH on November 18, 2018 and sell it today you would lose (5,418)  from holding NQTH or give up 4.86% of portfolio value over 30 days.

Pair Corralation between NQTH and Seoul Comp

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for NQTH and Seoul Comp

NQTH diversification synergy

Average diversification

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

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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.