Correlation Analysis Between NZSE and All Ords

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

NZSE  vs.  All Ords

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 0.72 times more return on investment than All Ords. However, NZSE is 1.39 times less risky than All Ords. It trades about -0.05 of its potential returns per unit of risk. All Ords is currently generating about -0.14 per unit of risk. If you would invest  887,180  in NZSE on October 18, 2018 and sell it today you would lose (6,210)  from holding NZSE or give up 0.7% of portfolio value over 30 days.

Pair Corralation between NZSE and All Ords

0.63
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

NZSE diversification synergy

Poor diversification

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

 Predicted Return Density 
      Returns 

My Equities

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GOOG - USA Stock
Alphabet
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IT, Search Cloud And Integrated IT Services
Business Address1600 Amphitheatre Parkway
ExchangeNASDAQ
$1061.49

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