Pair Correlation Between NYSE and NQTH

This module allows you to analyze existing cross correlation between NYSE and NQTH. You can compare the effects of market volatilities on NYSE and NQTH 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 NQTH. See also your portfolio center. Please also check ongoing floating volatility patterns of NYSE and NQTH.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 NYSE  vs   NQTH
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to under-perform the NQTH. But the index apears to be less risky and, when comparing its historical volatility, NYSE is 2.1 times less risky than NQTH. The index trades about -0.16 of its potential returns per unit of risk. The NQTH is currently generating about 0.19 of returns per unit of risk over similar time horizon. If you would invest  112,403  in NQTH on October 20, 2017 and sell it today you would earn a total of  2,755  from holding NQTH or generate 2.45% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NYSE and NQTH
-0.27

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns