Pair Correlation Between NYSE and NZSE

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

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to generate 1.92 times less return on investment than NZSE. But when comparing it to its historical volatility, NYSE is 1.42 times less risky than NZSE. It trades about 0.05 of its potential returns per unit of risk. NZSE is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  808,674  in NZSE on October 26, 2017 and sell it today you would earn a total of  5,074  from holding NZSE or generate 0.63% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NYSE and NZSE
0.13

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Average diversification

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

 Predicted Return Density 
      Returns