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
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Comparative Performance

 Predicted Return Density 
      Returns 

NQTH  vs.  Seoul Comp

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NQTH is expected to under-perform the Seoul Comp. But the index apears to be less risky and, when comparing its historical volatility, NQTH is 1.27 times less risky than Seoul Comp. The index trades about -0.06 of its potential returns per unit of risk. The Seoul Comp is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  209,334  in Seoul Comp on September 19, 2019 and sell it today you would lose (4,990)  from holding Seoul Comp or give up 2.38% of portfolio value over 30 days.

Pair Corralation between NQTH and Seoul Comp

0.83
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy53.42%
ValuesDaily Returns

Diversification Opportunities for NQTH and Seoul Comp

NQTH diversification synergy

Very poor 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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