Correlation Analysis Between SP 500 and Stockholm

This module allows you to analyze existing cross correlation between S&P 500 and Stockholm. You can compare the effects of market volatilities on SP 500 and Stockholm 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 SP 500 with a short position of Stockholm. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Stockholm.
 Time Horizon     30 Days    Login   to change
Symbolsvs

S&P 500  vs.  Stockholm

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SP 500 is expected to generate 1.08 times less return on investment than Stockholm. But when comparing it to its historical volatility, S&P 500 is 1.23 times less risky than Stockholm. It trades about 0.08 of its potential returns per unit of risk. Stockholm is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  57,811  in Stockholm on June 20, 2018 and sell it today you would earn a total of  826.00  from holding Stockholm or generate 1.43% return on investment over 30 days.

Pair Corralation between SP 500 and Stockholm

0.9
Time Period1 Month [change]
DirectionPositive 
StrengthVery Strong
Accuracy100.0%
ValuesDaily Returns

Diversification

Almost no diversification

Overlapping area represents the amount of risk that can be diversified away by holding S&P 500 and Stockholm in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Stockholm and SP 500 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 S&P 500 are associated (or correlated) with Stockholm. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Stockholm has no effect on the direction of SP 500 i.e. SP 500 and Stockholm go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns 

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