This module allows you to analyze existing cross correlation between NZSE and OMX COPENHAGEN. You can compare the effects of market volatilities on NZSE and OMX COPENHAGEN 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 OMX COPENHAGEN. See also your portfolio center. Please also check ongoing floating volatility patterns of NZSE and OMX COPENHAGEN.
Assuming 30 trading days horizon, NZSE is expected to under-perform the OMX COPENHAGEN. But the index apears to be less risky and, when comparing its historical volatility, NZSE is 1.62 times less risky than OMX COPENHAGEN. The index trades about -0.05 of its potential returns per unit of risk. The OMX COPENHAGEN is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 138,480 in OMX COPENHAGEN on June 22, 2018 and sell it today you would earn a total of 3,752 from holding OMX COPENHAGEN or generate 2.71% return on investment over 30 days.
Overlapping area represents the amount of risk that can be diversified away by holding NZSE and OMX COPENHAGEN in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on OMX COPENHAGEN 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 OMX COPENHAGEN. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of OMX COPENHAGEN has no effect on the direction of NZSE i.e. NZSE and OMX COPENHAGEN go up and down completely randomly.
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