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
Compare Efficiency

Comparative Performance

 Predicted Return Density 


 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 1.05 times less return on investment than NQTH. But when comparing it to its historical volatility, NZSE is 1.43 times less risky than NQTH. It trades about 0.37 of its potential returns per unit of risk. NQTH is currently generating about 0.28 of returns per unit of risk over similar time horizon. If you would invest  107,126  in NQTH on January 20, 2019 and sell it today you would earn a total of  8,084  from holding NQTH or generate 7.55% return on investment over 30 days.

Pair Corralation between NZSE and NQTH

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for NZSE and NQTH

NZSE diversification synergy

Poor 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 Commodity Channel Index module to use commodity channel index to analyze current equity momentum.