Correlation Analysis Between NZSE and NQPH

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

 Predicted Return Density 
      Returns 

NZSE  vs.  NQPH

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to under-perform the NQPH. But the index apears to be less risky and, when comparing its historical volatility, NZSE is 1.69 times less risky than NQPH. The index trades about -0.03 of its potential returns per unit of risk. The NQPH is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  92,945  in NQPH on November 15, 2018 and sell it today you would earn a total of  9,126  from holding NQPH or generate 9.82% return on investment over 30 days.

Pair Corralation between NZSE and NQPH

-0.36
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy80.0%
ValuesDaily Returns

Diversification Opportunities for NZSE and NQPH

NZSE diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding NZSE and NQPH in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQPH 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 NQPH. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQPH has no effect on the direction of NZSE i.e. NZSE and NQPH go up and down completely randomly.
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See also your portfolio center. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.


 
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