Pair Correlation Between NZSE and OSE All

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

NZSE  vs.  OSE All

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to under-perform the OSE All. But the index apears to be less risky and, when comparing its historical volatility, NZSE is 1.49 times less risky than OSE All. The index trades about -0.02 of its potential returns per unit of risk. The OSE All is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  91,923  in OSE All on March 27, 2018 and sell it today you would earn a total of  3,300  from holding OSE All or generate 3.59% return on investment over 30 days.

Pair Corralation between NZSE and OSE All

0.84
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy94.12%
ValuesDaily Returns

Diversification

Very poor diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.