Correlation Analysis Between SPTSX Comp and AEX Amsterdam |
This module allows you to analyze existing cross correlation between SPTSX Comp and AEX Amsterdam. You can compare the effects of market volatilities on SPTSX Comp and AEX Amsterdam 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 SPTSX Comp with a short position of AEX Amsterdam. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and AEX Amsterdam.
| Time Horizon | 30 Days Login to change |
| Symbols | vs |
SPTSX Comp vs. AEX Amsterdam
Pair Volatility
Assuming 30 trading days horizon, SPTSX Comp is expected to generate 0.14 times more return on investment than AEX Amsterdam. However, SPTSX Comp is 6.98 times less risky than AEX Amsterdam. It trades about 0.03 of its potential returns per unit of risk. AEX Amsterdam is currently generating about -0.16 per unit of risk. If you would invest 1,642,100 in SPTSX Comp on June 20, 2018 and sell it today you would earn a total of 12,200 from holding SPTSX Comp or generate 0.74% return on investment over 30 days.
Pair Corralation between SPTSX Comp and AEX Amsterdam
0.71
| Time Period | 1 Month [change] |
| Direction | Positive |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Diversification
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding SPTSX Comp and AEX Amsterdam in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on AEX Amsterdam and SPTSX Comp 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 SPTSX Comp are associated (or correlated) with AEX Amsterdam. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AEX Amsterdam has no effect on the direction of SPTSX Comp i.e. SPTSX Comp and AEX Amsterdam go up and down completely randomly.
Comparative Volatility
SPTSX Comp
Pair trading matchups for SPTSX Comp
AEX Amsterdam
Pair trading matchups for AEX Amsterdam
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See also your portfolio center. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.