Correlation Analysis Between American Express and NZSE

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

 Predicted Return Density 
      Returns 

American Express Company  vs.  NZSE

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, American Express Company is expected to under-perform the NZSE. In addition to that, American Express is 1.7 times more volatile than NZSE. It trades about -0.07 of its total potential returns per unit of risk. NZSE is currently generating about 0.08 per unit of volatility. If you would invest  1,040,805  in NZSE on July 25, 2019 and sell it today you would earn a total of  23,248  from holding NZSE or generate 2.23% return on investment over 30 days.

Pair Corralation between American Express and NZSE

-0.16
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy81.82%
ValuesDaily Returns

Diversification Opportunities for American Express and NZSE

American Express Company diversification synergy

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding American Express Company and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE and American Express 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 American Express Company 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 American Express i.e. American Express and NZSE go up and down completely randomly.
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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.


 
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