Correlation Analysis Between NZSE and XU100

This module allows you to analyze existing cross correlation between NZSE and XU100. You can compare the effects of market volatilities on NZSE and XU100 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 XU100. See also your portfolio center. Please also check ongoing floating volatility patterns of NZSE and XU100.
Horizon     30 Days    Login   to change
Symbolsvs

NZSE  vs.  XU100

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 4.04 times less return on investment than XU100. But when comparing it to its historical volatility, NZSE is 2.14 times less risky than XU100. It trades about 0.16 of its potential returns per unit of risk. XU100 is currently generating about 0.31 of returns per unit of risk over similar time horizon. If you would invest  8,873,476  in XU100 on August 24, 2018 and sell it today you would earn a total of  925,340  from holding XU100 or generate 10.43% return on investment over 30 days.

Pair Corralation between NZSE and XU100

0.0
Time Period1 Month [change]
DirectionFlat 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Pay attention

Overlapping area represents the amount of risk that can be diversified away by holding NZSE and XU100 in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on XU100 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 XU100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of XU100 has no effect on the direction of NZSE i.e. NZSE and XU100 go up and down completely randomly.
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Comparative Volatility

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