Correlation Analysis Between AEX Amsterdam and SPTSX Comp

This module allows you to analyze existing cross correlation between AEX Amsterdam and SPTSX Comp. You can compare the effects of market volatilities on AEX Amsterdam and SPTSX Comp 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 AEX Amsterdam with a short position of SPTSX Comp. See also your portfolio center. Please also check ongoing floating volatility patterns of AEX Amsterdam and SPTSX Comp.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

AEX Amsterdam  vs.  SPTSX Comp

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, AEX Amsterdam is expected to generate 1.24 times more return on investment than SPTSX Comp. However, AEX Amsterdam is 1.24 times more volatile than SPTSX Comp. It trades about -0.03 of its potential returns per unit of risk. SPTSX Comp is currently generating about -0.14 per unit of risk. If you would invest  51,469  in AEX Amsterdam on November 14, 2018 and sell it today you would lose (816.00)  from holding AEX Amsterdam or give up 1.59% of portfolio value over 30 days.

Pair Corralation between AEX Amsterdam and SPTSX Comp

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for AEX Amsterdam and SPTSX Comp

AEX Amsterdam diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding AEX Amsterdam and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp and AEX Amsterdam 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 AEX Amsterdam are associated (or correlated) with SPTSX Comp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPTSX Comp has no effect on the direction of AEX Amsterdam i.e. AEX Amsterdam and SPTSX Comp go up and down completely randomly.

Thematic Opportunities

Explore Investment Opportunities

Build portfolios using Macroaxis predefined set of investing ideas. Many of Macroaxis investing ideas can easily outperform a given market. Ideas can also be optimized per your risk profile before portfolio origination is invoked.
Explore Thematic Ideas
Explore Investing Ideas  
See also your portfolio center. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.