Correlation Analysis Between SP 500 and Swiss Mrt

This module allows you to analyze existing cross correlation between S&P 500 and Swiss Mrt. You can compare the effects of market volatilities on SP 500 and Swiss Mrt 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 Swiss Mrt. See also your portfolio center. Please also check ongoing floating volatility patterns of SP 500 and Swiss Mrt.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

S&P 500  vs.  Swiss Mrt

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to under-perform the Swiss Mrt. In addition to that, SP 500 is 1.2 times more volatile than Swiss Mrt. It trades about -0.12 of its total potential returns per unit of risk. Swiss Mrt is currently generating about -0.07 per unit of volatility. If you would invest  887,209  in Swiss Mrt on November 18, 2018 and sell it today you would lose (32,782)  from holding Swiss Mrt or give up 3.69% of portfolio value over 30 days.

Pair Corralation between SP 500 and Swiss Mrt

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for SP 500 and Swiss Mrt

S&P 500 diversification synergy

Very weak diversification

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

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