Correlation Analysis Between NZSE and NIKKEI 225

This module allows you to analyze existing cross correlation between NZSE and NIKKEI 225. You can compare the effects of market volatilities on NZSE and NIKKEI 225 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 NIKKEI 225. See also your portfolio center. Please also check ongoing floating volatility patterns of NZSE and NIKKEI 225.
Horizon     30 Days    Login   to change

NZSE  vs.  NIKKEI 225

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 0.49 times more return on investment than NIKKEI 225. However, NZSE is 2.03 times less risky than NIKKEI 225. It trades about -0.04 of its potential returns per unit of risk. NIKKEI 225 is currently generating about -0.11 per unit of risk. If you would invest  884,324  in NZSE on November 11, 2018 and sell it today you would lose (10,269)  from holding NZSE or give up 1.16% of portfolio value over 30 days.

Pair Corralation between NZSE and NIKKEI 225

Time Period2 Months [change]
ValuesDaily Returns


NZSE diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding NZSE and NIKKEI 225 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NIKKEI 225 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 NIKKEI 225. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIKKEI 225 has no effect on the direction of NZSE i.e. NZSE and NIKKEI 225 go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.