Correlation Analysis Between SP 500 and Straits Tms

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

S&P 500  vs.  Straits Tms

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, S&P 500 is expected to generate 0.59 times more return on investment than Straits Tms. However, S&P 500 is 1.71 times less risky than Straits Tms. It trades about 0.06 of its potential returns per unit of risk. Straits Tms is currently generating about -0.42 per unit of risk. If you would invest  272,444  in S&P 500 on May 22, 2018 and sell it today you would earn a total of  2,377  from holding S&P 500 or generate 0.87% return on investment over 30 days.

Pair Corralation between SP 500 and Straits Tms

0.65
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy64.52%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns 

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Alphabet
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IT, Search Cloud And Integrated IT Services
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ExchangeNASDAQ
$1157.66

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.