This module allows you to analyze existing cross correlation between All Ords and SPTSX Comp. You can compare the effects of market volatilities on All Ords 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 All Ords with a short position of SPTSX Comp. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and SPTSX Comp.
|Time Horizon||30 Days Login to change|
All Ords vs. SPTSX Comp
Assuming 30 trading days horizon, All Ords is expected to under-perform the SPTSX Comp. But the index apears to be less risky and, when comparing its historical volatility, All Ords is 1.1 times less risky than SPTSX Comp. The index trades about -0.07 of its potential returns per unit of risk. The SPTSX Comp is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest 1,571,466 in SPTSX Comp on March 27, 2018 and sell it today you would lose (20,491) from holding SPTSX Comp or give up 1.3% of portfolio value over 30 days.