Correlation Analysis Between NZSE and NQTH

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

 Predicted Return Density 
      Returns 

NZSE  vs.  NQTH

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 0.79 times more return on investment than NQTH. However, NZSE is 1.27 times less risky than NQTH. It trades about 0.17 of its potential returns per unit of risk. NQTH is currently generating about 0.09 per unit of risk. If you would invest  995,962  in NZSE on May 17, 2019 and sell it today you would earn a total of  27,575  from holding NZSE or generate 2.77% return on investment over 30 days.

Pair Corralation between NZSE and NQTH

-0.29
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy87.8%
ValuesDaily Returns

Diversification Opportunities for NZSE and NQTH

NZSE diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding NZSE and NQTH in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQTH and NZSE 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 NZSE 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 NZSE i.e. NZSE and NQTH go up and down completely randomly.
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See also your portfolio center. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.


 
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