Correlation Analysis Between OSE All and NZSE

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

 Predicted Return Density 
      Returns 

OSE All  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, OSE All is expected to under-perform the NZSE. In addition to that, OSE All is 2.0 times more volatile than NZSE. It trades about -0.11 of its total potential returns per unit of risk. NZSE is currently generating about -0.03 per unit of volatility. If you would invest  883,807  in NZSE on November 13, 2018 and sell it today you would lose (7,118)  from holding NZSE or give up 0.81% of portfolio value over 30 days.

Pair Corralation between OSE All and NZSE

0.49
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy79.55%
ValuesDaily Returns

Diversification Opportunities for OSE All and NZSE

OSE All diversification synergy

Very weak diversification

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