Pair Correlation Between NZSE and ATX

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

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 0.64 times more return on investment than ATX. However, NZSE is 1.57 times less risky than ATX. It trades about 0.02 of its potential returns per unit of risk. ATX is currently generating about -0.12 per unit of risk. If you would invest  812,267  in NZSE on October 25, 2017 and sell it today you would earn a total of  1,481  from holding NZSE or generate 0.18% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NZSE and ATX
-0.19

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.65%
ValuesDaily Returns

Diversification

Good diversification

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

 Predicted Return Density 
      Returns