Correlation Analysis Between NZSE and MerVal

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

NZSE  vs.  MerVal

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 8.11 times less return on investment than MerVal. But when comparing it to its historical volatility, NZSE is 7.1 times less risky than MerVal. It trades about 0.16 of its potential returns per unit of risk. MerVal is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  2,693,875  in MerVal on August 20, 2018 and sell it today you would earn a total of  519,815  from holding MerVal or generate 19.3% return on investment over 30 days.

Pair Corralation between NZSE and MerVal

0.24
Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy95.65%
ValuesDaily Returns

Diversification

Modest diversification

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

 Predicted Return Density 
      Returns 

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