Correlation Analysis Between NZSE and Nasdaq

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

NZSE  vs.  Nasdaq

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 1.06 times less return on investment than Nasdaq. But when comparing it to its historical volatility, NZSE is 1.17 times less risky than Nasdaq. It trades about 0.16 of its potential returns per unit of risk. Nasdaq is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  782,101  in Nasdaq on August 22, 2018 and sell it today you would earn a total of  20,722  from holding Nasdaq or generate 2.65% return on investment over 30 days.

Pair Corralation between NZSE and Nasdaq

Time Period1 Month [change]
ValuesDaily Returns


Poor diversification

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

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.