Correlation Analysis Between NZSE and DOW

This module allows you to analyze existing cross correlation between NZSE and DOW. You can compare the effects of market volatilities on NZSE and DOW 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 DOW. See also your portfolio center. Please also check ongoing floating volatility patterns of NZSE and DOW.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

NZSE  vs.  DOW

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NZSE is not expected to generate positive returns. However, NZSE is 2.14 times less risky than DOW. It waists most of its returns potential to compensate for thr risk taken. DOW is generating about -0.13 per unit of risk. If you would invest  869,393  in NZSE on November 18, 2018 and sell it today you would lose (556.00)  from holding NZSE or give up 0.06% of portfolio value over 30 days.

Pair Corralation between NZSE and DOW

Time Period2 Months [change]
StrengthVery Weak
ValuesDaily Returns

Diversification Opportunities for NZSE and DOW

NZSE diversification synergy

Weak diversification

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

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See also your portfolio center. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.