Pair Correlation Between NZSE and Seoul Comp

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

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to under-perform the Seoul Comp. But the index apears to be less risky and, when comparing its historical volatility, NZSE is 1.69 times less risky than Seoul Comp. The index trades about -0.1 of its potential returns per unit of risk. The Seoul Comp is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  248,188  in Seoul Comp on December 18, 2017 and sell it today you would earn a total of  3,355  from holding Seoul Comp or generate 1.35% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NZSE and Seoul Comp


Time Period1 Month [change]
ValuesDaily Returns


Very good diversification

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

Comparative Volatility

 Predicted Return Density