Pair Correlation Between NZSE and BSE

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

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to under-perform the BSE. In addition to that, NZSE is 1.15 times more volatile than BSE. It trades about -0.15 of its total potential returns per unit of risk. BSE is currently generating about 0.53 per unit of volatility. If you would invest  3,394,030  in BSE on December 22, 2017 and sell it today you would earn a total of  157,128  from holding BSE or generate 4.63% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NZSE and BSE


Time Period1 Month [change]
ValuesDaily Returns


Excellent diversification

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

Comparative Volatility

 Predicted Return Density