Correlation Between HNX 30 and NYSE Composite
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By analyzing existing cross correlation between HNX 30 and NYSE Composite, you can compare the effects of market volatilities on HNX 30 and NYSE Composite 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 HNX 30 with a short position of NYSE Composite. Check out your portfolio center. Please also check ongoing floating volatility patterns of HNX 30 and NYSE Composite.
Diversification Opportunities for HNX 30 and NYSE Composite
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between HNX and NYSE is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding HNX 30 and NYSE Composite in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NYSE Composite and HNX 30 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 HNX 30 are associated (or correlated) with NYSE Composite. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE Composite has no effect on the direction of HNX 30 i.e., HNX 30 and NYSE Composite go up and down completely randomly.
Pair Corralation between HNX 30 and NYSE Composite
Assuming the 90 days trading horizon HNX 30 is expected to under-perform the NYSE Composite. In addition to that, HNX 30 is 3.76 times more volatile than NYSE Composite. It trades about -0.18 of its total potential returns per unit of risk. NYSE Composite is currently generating about -0.06 per unit of volatility. If you would invest 1,798,249 in NYSE Composite on February 4, 2024 and sell it today you would lose (18,460) from holding NYSE Composite or give up 1.03% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 82.61% |
Values | Daily Returns |
HNX 30 vs. NYSE Composite
Performance |
Timeline |
HNX 30 and NYSE Composite Volatility Contrast
Predicted Return Density |
Returns |
HNX 30
Pair trading matchups for HNX 30
NYSE Composite
Pair trading matchups for NYSE Composite
Pair Trading with HNX 30 and NYSE Composite
The main advantage of trading using opposite HNX 30 and NYSE Composite positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if HNX 30 position performs unexpectedly, NYSE Composite can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in NYSE Composite will offset losses from the drop in NYSE Composite's long position.HNX 30 vs. Hanoi Plastics JSC | HNX 30 vs. Pha Le Plastics | HNX 30 vs. Danang Education Investment | HNX 30 vs. Viet Thanh Plastic |
NYSE Composite vs. Gerdau SA ADR | NYSE Composite vs. Transphorm Technology | NYSE Composite vs. KeyCorp | NYSE Composite vs. Chester Mining |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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