Pair Correlation Between NZSE and NQTH

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

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to under-perform the NQTH. In addition to that, NZSE is 1.15 times more volatile than NQTH. It trades about -0.08 of its total potential returns per unit of risk. NQTH is currently generating about -0.02 per unit of volatility. If you would invest  124,933  in NQTH on January 22, 2018 and sell it today you would lose (512.00)  from holding NQTH or give up 0.41% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between NZSE and NQTH
0.74

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns