This module allows you to analyze existing cross correlation between NYSE and NZSE. You can compare the effects of market volatilities on NYSE 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 NYSE with a short position of NZSE. See also your portfolio center
. Please also check ongoing floating volatility patterns of NYSE
NYSE vs. NZSE
Given the investment horizon of 30 days, NYSE is expected to generate 1.34 times more return on investment than NZSE. However, NYSE is 1.34 times more volatile than NZSE. It trades about 0.15 of its potential returns per unit of risk. NZSE is currently generating about -0.05 per unit of risk. If you would invest 1,256,023 in NYSE on June 21, 2018 and sell it today you would earn a total of 22,968 from holding NYSE or generate 1.83% return on investment over 30 days.
Pair Corralation between NYSE and NZSE
|Time Period||1 Month [change]|
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding NYSE and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE 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 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 NYSE i.e. NYSE and NZSE go up and down completely randomly.
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