Pair Correlation Between Taiwan Wtd and NZSE

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

Pair Volatility

Assuming 30 trading days horizon, Taiwan Wtd is expected to under-perform the NZSE. In addition to that, Taiwan Wtd is 1.79 times more volatile than NZSE. It trades about -0.16 of its total potential returns per unit of risk. NZSE is currently generating about 0.0 per unit of volatility. If you would invest  832,211  in NZSE on January 24, 2018 and sell it today you would lose (69.00)  from holding NZSE or give up 0.01% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Taiwan Wtd and NZSE
0.27

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy73.91%
ValuesDaily Returns

Diversification

Modest diversification

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

 Predicted Return Density 
      Returns