Correlation Analysis Between Swiss Mrt and NZSE

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

Swiss Mrt  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Swiss Mrt is expected to generate 1.59 times more return on investment than NZSE. However, Swiss Mrt is 1.59 times more volatile than NZSE. It trades about 0.02 of its potential returns per unit of risk. NZSE is currently generating about -0.04 per unit of risk. If you would invest  866,038  in Swiss Mrt on November 11, 2018 and sell it today you would earn a total of  5,470  from holding Swiss Mrt or generate 0.63% return on investment over 30 days.

Pair Corralation between Swiss Mrt and NZSE

-0.3
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy83.33%
ValuesDaily Returns

Diversification

Swiss Mrt diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Swiss Mrt and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE and Swiss Mrt 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 Swiss Mrt 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 Swiss Mrt i.e. Swiss Mrt and NZSE go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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