This module allows you to analyze existing cross correlation between NASDAQ UK and NYSE. You can compare the effects of market volatilities on NASDAQ UK and NYSE 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 UK with a short position of NYSE. See also your portfolio center. Please also check ongoing floating volatility patterns of NASDAQ UK and NYSE.
|Horizon||30 Days Login to change|
Predicted Return Density
NASDAQ UK vs. NYSE
Assuming 30 trading days horizon, NASDAQ UK is expected to under-perform the NYSE. But the index apears to be less risky and, when comparing its historical volatility, NASDAQ UK is 1.01 times less risky than NYSE. The index trades about -0.18 of its potential returns per unit of risk. The NYSE is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 1,292,271 in NYSE on May 18, 2019 and sell it today you would lose (17,571) from holding NYSE or give up 1.36% of portfolio value over 30 days.
Pair Corralation between NASDAQ UK and NYSE
|Time Period||2 Months [change]|
Diversification Opportunities for NASDAQ UK and NYSE
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding NASDAQ UK and NYSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NYSE and NASDAQ UK 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 UK are associated (or correlated) with NYSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE has no effect on the direction of NASDAQ UK i.e. NASDAQ UK and NYSE go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.