This module allows you to analyze existing cross correlation between SPDR SP 500 and NZSE. You can compare the effects of market volatilities on SPDR SP 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 SPDR SP with a short position of NZSE. See also your portfolio center. Please also check ongoing floating volatility patterns of SPDR SP and NZSE.
|Horizon||30 Days Login to change|
Predicted Return Density
SPDR SP 500 vs. NZSE
Considering 30-days investment horizon, SPDR SP 500 is expected to under-perform the NZSE. In addition to that, SPDR SP is 1.41 times more volatile than NZSE. It trades about -0.04 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 21,430 from holding NZSE or generate 2.06% return on investment over 30 days.
Pair Corralation between SPDR SP and NZSE
|Time Period||2 Months [change]|
Diversification Opportunities for SPDR SP and NZSE
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPDR SP 500 and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE and SPDR SP 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 SPDR SP 500 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 SPDR SP i.e. SPDR SP and NZSE go up and down completely randomly.
See also your portfolio center. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.