Pair Correlation Between XU100 and NQPH

This module allows you to analyze existing cross correlation between XU100 and NQPH. You can compare the effects of market volatilities on XU100 and NQPH 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 NQPH. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and NQPH.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 XU100  vs   NQPH
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to generate 1.07 times more return on investment than NQPH. However, XU100 is 1.07 times more volatile than NQPH. It trades about -0.13 of its potential returns per unit of risk. NQPH is currently generating about -0.45 per unit of risk. If you would invest  12,070,192  in XU100 on January 26, 2018 and sell it today you would lose (318,042)  from holding XU100 or give up 2.63% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and NQPH
0.58

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy90.48%
ValuesDaily Returns

Diversification

Very weak diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns