Pair Correlation Between XU100 and NQTH

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

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to generate 1.41 times more return on investment than NQTH. However, XU100 is 1.41 times more volatile than NQTH. It trades about 0.07 of its potential returns per unit of risk. NQTH is currently generating about 0.06 per unit of risk. If you would invest  11,514,706  in XU100 on January 19, 2018 and sell it today you would earn a total of  136,391  from holding XU100 or generate 1.18% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and NQTH
0.48

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy85.71%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns