Correlation Analysis Between BSE and NZSE |
This module allows you to analyze existing cross correlation between BSE and NZSE. You can compare the effects of market volatilities on BSE 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 BSE with a short position of NZSE. See also your portfolio center. Please also check ongoing floating volatility patterns of BSE and NZSE.
| Horizon | 30 Days Login to change |
| Symbols | vs |
Comparative Performance
BSE vs. NZSE
Pair Volatility
Assuming 30 trading days horizon, BSE is expected to generate 3.02 times less return on investment than NZSE. In addition to that, BSE is 2.09 times more volatile than NZSE. It trades about 0.03 of its total potential returns per unit of risk. NZSE is currently generating about 0.17 per unit of volatility. If you would invest 995,962 in NZSE on May 17, 2019 and sell it today you would earn a total of 27,575 from holding NZSE or generate 2.77% return on investment over 30 days.
Pair Corralation between BSE and NZSE
0.14
| Time Period | 2 Months [change] |
| Direction | Positive |
| Strength | Insignificant |
| Accuracy | 94.74% |
| Values | Daily Returns |
Diversification Opportunities for BSE and NZSE
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding BSE and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE and BSE 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 BSE 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 BSE i.e. BSE and NZSE go up and down completely randomly.
BSE
Pair trading matchups for BSE
NZSE
Pair trading matchups for NZSE
See also your portfolio center. Please also try Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.
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