Correlation Analysis Between NZSE and Straits Tms

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

 Predicted Return Density 
      Returns 

NZSE  vs.  Straits Tms

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to under-perform the Straits Tms. But the index apears to be less risky and, when comparing its historical volatility, NZSE is 1.34 times less risky than Straits Tms. The index trades about -0.03 of its potential returns per unit of risk. The Straits Tms is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  304,597  in Straits Tms on November 14, 2018 and sell it today you would earn a total of  6,511  from holding Straits Tms or generate 2.14% return on investment over 30 days.

Pair Corralation between NZSE and Straits Tms

0.03
Time Period2 Months [change]
DirectionPositive 
StrengthInsignificant
Accuracy85.71%
ValuesDaily Returns

Diversification Opportunities for NZSE and Straits Tms

NZSE diversification synergy

Significant diversification

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