Correlation Analysis Between NZSE and Straits Tms

This module allows you to analyze existing cross correlation between NZSE and Straits Tms. You can compare the effects of market volatilities on NZSE and Straits Tms 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 Straits Tms. See also your portfolio center. Please also check ongoing floating volatility patterns of NZSE and Straits Tms.
Horizon     30 Days    Login   to change
Check Efficiency

Comparative Performance

 Predicted Return Density 

NZSE  vs.  Straits Tms

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to generate 0.66 times more return on investment than Straits Tms. However, NZSE is 1.52 times less risky than Straits Tms. It trades about 0.17 of its potential returns per unit of risk. Straits Tms is currently generating about -0.14 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 Straits Tms

Time Period2 Months [change]
StrengthVery Weak
ValuesDaily Returns

Diversification Opportunities for NZSE and Straits Tms

NZSE diversification synergy

Excellent diversification

Overlapping area represents the amount of risk that can be diversified away by holding NZSE and Straits Tms in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Straits Tms 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 Straits Tms. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Straits Tms has no effect on the direction of NZSE i.e. NZSE and Straits Tms go up and down completely randomly.
See also your portfolio center. Please also try Content Syndication module to quickly integrate customizable finance content to your own investment portal.