Correlation Analysis Between ATX and NQFI

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

 Predicted Return Density 
      Returns 

ATX  vs.  NQFI

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, ATX is expected to under-perform the NQFI. But the index apears to be less risky and, when comparing its historical volatility, ATX is 1.3 times less risky than NQFI. The index trades about -0.4 of its potential returns per unit of risk. The NQFI is currently generating about -0.16 of returns per unit of risk over similar time horizon. If you would invest  152,219  in NQFI on May 17, 2019 and sell it today you would lose (9,662)  from holding NQFI or give up 6.35% of portfolio value over 30 days.

Pair Corralation between ATX and NQFI

0.8
Time Period2 Months [change]
DirectionPositive 
StrengthStrong
Accuracy92.68%
ValuesDaily Returns

Diversification Opportunities for ATX and NQFI

ATX diversification synergy

Very poor diversification

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