Pair Correlation Between NZSE and IPC

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

NZSE  vs.  IPC

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to under-perform the IPC. But the index apears to be less risky and, when comparing its historical volatility, NZSE is 1.56 times less risky than IPC. The index trades about -0.02 of its potential returns per unit of risk. The IPC is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest  4,846,344  in IPC on March 27, 2018 and sell it today you would lose (40,523)  from holding IPC or give up 0.84% of portfolio value over 30 days.

Pair Corralation between NZSE and IPC

0.93
Time Period2 Months [change]
DirectionPositive 
StrengthVery Strong
Accuracy94.12%
ValuesDaily Returns

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.