Correlation Analysis Between Nasdaq and All Ords

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

Comparative Performance

 Predicted Return Density 

Nasdaq  vs.  All Ords

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Nasdaq is expected to under-perform the All Ords. In addition to that, Nasdaq is 1.8 times more volatile than All Ords. It trades about -0.12 of its total potential returns per unit of risk. All Ords is currently generating about -0.14 per unit of volatility. If you would invest  597,780  in All Ords on November 15, 2018 and sell it today you would lose (29,900)  from holding All Ords or give up 5.0% of portfolio value over 30 days.

Pair Corralation between Nasdaq and All Ords

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Nasdaq and All Ords

Nasdaq diversification synergy

Poor diversification

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

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See also your portfolio center. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.