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
Compare Efficiency

Comparative Performance

 Predicted Return Density 

NZSE  vs.  XU100

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 0.38 times more return on investment than XU100. However, NZSE is 2.65 times less risky than XU100. It trades about -0.05 of its potential returns per unit of risk. XU100 is currently generating about -0.13 per unit of risk. If you would invest  883,807  in NZSE on November 14, 2018 and sell it today you would lose (11,556)  from holding NZSE or give up 1.31% of portfolio value over 30 days.

Pair Corralation between NZSE and XU100

Time Period2 Months [change]
StrengthVery Weak
ValuesDaily Returns

Diversification Opportunities for NZSE and XU100

NZSE diversification synergy

Modest diversification

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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