Correlation Analysis Between XU100 and NQFI

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

 Predicted Return Density 
      Returns 

XU100  vs.  NQFI

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the NQFI. In addition to that, XU100 is 1.42 times more volatile than NQFI. It trades about -0.13 of its total potential returns per unit of risk. NQFI is currently generating about -0.08 per unit of volatility. If you would invest  149,099  in NQFI on November 14, 2018 and sell it today you would lose (7,322)  from holding NQFI or give up 4.91% of portfolio value over 30 days.

Pair Corralation between XU100 and NQFI

0.34
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy57.78%
ValuesDaily Returns

Diversification Opportunities for XU100 and NQFI

XU100 diversification synergy

Weak diversification

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