This module allows you to analyze existing cross correlation between NYSE and NQFI. You can compare the effects of market volatilities on NYSE 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 NYSE with a short position of NQFI. See also your portfolio center
. Please also check ongoing floating volatility patterns of NYSE
NYSE vs. NQFI
Given the investment horizon of 30 days, NYSE is expected to generate 0.59 times more return on investment than NQFI. However, NYSE is 1.68 times less risky than NQFI. It trades about 0.03 of its potential returns per unit of risk. NQFI is currently generating about -0.02 per unit of risk. If you would invest 1,270,863 in NYSE on June 17, 2018 and sell it today you would earn a total of 4,015 from holding NYSE or generate 0.32% return on investment over 30 days.
Pair Corralation between NYSE and NQFI
|Time Period||1 Month [change]|
Overlapping area represents the amount of risk that can be diversified away by holding NYSE and NQFI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQFI and NYSE 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 NYSE 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 NYSE i.e. NYSE and NQFI go up and down completely randomly.
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