Correlation Analysis Between NZSE and NYSE

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


 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 1.69 times more return on investment than NYSE. However, NZSE is 1.69 times more volatile than NYSE. It trades about 0.09 of its potential returns per unit of risk. NYSE is currently generating about 0.13 per unit of risk. If you would invest  920,642  in NZSE on August 26, 2018 and sell it today you would earn a total of  12,031  from holding NZSE or generate 1.31% return on investment over 30 days.

Pair Corralation between NZSE and NYSE

Time Period1 Month [change]
ValuesDaily Returns


Poor diversification

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